If you are replying to a group (reply-all) and you are in that group, you will get a copy!
There was an issue with Outlook 2003/5 where "Rules" particularly could cause duplication of emails (ie one in your inbox and a copy appearing where the rules were supposed to send the original message. I had this on my system, and nothing I could do fixed it. I eventually upgraded to Office 2007 to fix it (which it did).
paul