Here’s the default view, notice how your eyes just brush right over the “Yesterday” without really noticing it.
To change this setting, go to View \ Current View \ Customize Current View and then click the “Other Settings” button.
In this dialog you’ll find the “Shade group headings” option, which you’ll need to check. Note that this is a global setting across all views, not just the current one.
The change should be instant, you will now see the darkened group headings.
I find this much easier to work with than the default setting, although it’s not quite as “pretty”.
Note: For Outlook 2003, you’ll need to use View > Arrange By > Current View > Customize View: Messages. Thanks Jon!