When you copy and paste do you have the Email format set to RTF? What is the default format for sending emails (menu -> Tools -> Options -> Mail Format)?
My default format is RTF and I get basic formatting when copying (ctrl-c) out of Firefox and pasting into a new email.
My default is plain text, because I dislike fancy formats in e-mail. This is the odd case where I might want something to impress managers. I also found that if I put a UNC link to something on the network when replying to other people's fancy-formatted e-mails, the links didn't always seem to work, and it was safer to start from scratch with a plain-text e-mail.
For this test, though, I tried both plain text and re-setting the default to HTML. I didn't think to try RTF, and indeed I wouldn't have thought of it, because I was under the impression that converting between HTML and RTF was difficult.
@lanux128: thanks for the tip - as seen above, I'd sort of got there, but that makes the intended behaviour clearer.