Thunderbolt's email client supports HTML email out of the box--provided you're on a version of Exchange that supports it with ActiveSync inherently. On Exchange 2003, my Thunderbolt's email client did not support HTML email. When I was migrated over to Exchange 2010, it supported HTML email. I think the 2007 version of Exchange does as well, but could be wrong.
Now, this said, I do know that some email clients worked with Exchange 2003 and HTML email--as I had this when I was trying various ROMs on other Android handset. The Gingerbread ROM I tried on my Sprint Evo did not support HTML email when I was on Exchange 2003, but did in 2010. This would lead me to conclude that Gingerbread has the same "limitations" as other email clients with respect to this functionality.
Joel