But this is true no longer. Now there are undo trees for Emacs! Yes, this news is so important I had to italicize and bold it. It's like Emacs has been punching me in the face for years, and today I got it to stop. I never thought I'd see the day.
And it works great too. You can even view the tree visually and navigate it with the cursor keys, which is a step up on what Vim offers out of the box.
In other news, Vim 7.3 is out and it now has persistent undo across reloads. It's like an arms race, and gleeful hackers reap the benefits.