All messages you can see with dmesg are by default written to var/log/syslog as well. So you can look through this log file with any tool you like.

I use less var/log/syslog for reading it later or tailf var/log/syslog for "just in time" purposes.

As zwets has just pointed out: /var/log/dmesgcontains the dmesg output collected during system boot.