Before WordPress 2.7 you could only get threaded comments through plugins. One of the great things they finally added with WP 2.7 was threaded comments.
A quick web search should help you find the right tutorials to have your theme make use of this new comment system... and soon you'll discover a new function called wp_list_comments() that would simply dump out all the comments with correct markup for comment threading. AWESOME. For the most part, everything wp_list_comments() does is pretty good—It gives you good markup that you can easily style and some options.
But one thing I could never find out how to do was replace "says:" in the default comments template. After lots of forums and searching, I discovered that the only way to replace that text would be to write your own callback function to display the comments. WTF?! That's a lot of work just to change some simple text! definitely NOT worth the effort... so instead I wrote a simple plugin to change the text after the page is loaded.
Says Something Else takes a set of words that you define, and replaces "says" in the comments area. if you define more than one word, it will replaces "says" with a randomly chosen word from the list. Pretty simple. Download away!