Ok, so who else has found that replies to comments in their journals aren't threading properly? In either case, are you using S2, and if so, which style?
("works fine here" posts also useful)
Update:
olithered points out this:
http://www.livejournal.com/community/lj_support/419833.html
Answer to "Why didn't I see this?" is 'cos I didn't read the support journal before...