From Mac OS X Hints:
Just drag an e-mail from Mail to Reminders and a new Reminder is automatically created with the subject of the e-mail as title and a link to the e-mail in the notes.
I did a quick screencast to show this.
Direct link to video
I use Omnifocus' clippings shortcut but this is a great way to accomplish a similar thing with the apps built in to Mountain Lion.