Thunderbird was not using a 24 hour clock despite me setting my Mac to a 24 hour clock in the Date/Time preferences. I found some mentions of an "International" settings panel in System Preferences, but I did not have anything named that in OS X Lion. I clicked around and found the Language & Text panel. This did the trick. You click Region and then Customize... in Times. The UI was confusing at first and then I realized it worked like iWork cell formatting. You click the hour and a drop down of options appears. I set it to 0-23 and removed the AM/PM part of the formatting and all was good. Thunderbird now uses a 24 hour clock display for all messages. To my surprise, it took effect immediately. All the times in Thunderbird changes as soon as I changed the settings.
Hope this helps others that want to see times this way.