UPDATE 9/2009 : This no longer works. If I were you I would enable Facebook to email you whenever you receive a message or comments from friends. This is also a cool way to see what people write and then later delete because you have a record of it that they can’t affect! bwahahaha
A friend of mine recently deleted their Facebook Inbox and was wondering how they could recover the messages. Before you ask, yes they checked Sent and Inbox, no dice. Facebook doesn’t have a Trash Can.
Anyway, I found this article by Kat Delong and she says it’s possible!: http://filetonic.com/blog/2009/02/04/recover-facebook-webmail/
The basics: If you have email notifications turned on for new messages then you can goto your regular email and click on the Facebook link in that email which goes to the Facebook message (even though it’s been deleted!). Once you get to the message you’ll see a notice that you deleted that message or thread. Next to that notice there is a link that says “Show deleted messages” and once clicked this will recover that thread or message into your Facebook Inbox.
Disclaimer: I haven’t tried this, but it sounds like it would work. If you’ve tried it, let me know!