Dan Frakes, writing for Macworld on changes coming to Mail in Mountain Lion:
A VIP is any person you designate as being important enough to have their messages treated differently by Mail. You designate someone as a VIP by clicking the star icon to the left of the person's name in any incoming or sent message. You'll immediately notice that every message to or from that person now displays a star in message lists, making it easier to find those messages. In addition, when you designate a sender as a VIP, that person gets his or her own entry in a new VIPs section of Mail's Mailboxes sidebar. Click a VIP's name, and you get a list of all messages, across all mailboxes (including Sent and Trash), to or from that person. If like me, you use Mail exclusively, you'll want to read this article as it details all the gritty details of what's coming. Having been using the developer preview of Mountain Lion for 4 days already, I had not even noticed these changes yet.