Just a quickie: I just discovered a feature in Mail.app that I was completely unaware of. It is possible to save Mail messages as .rtf (rich text) files. Just open or highlight a message, and click "File->Save As..." But the niftiest thing is that you can save multiple mail messages in one .rtf file. Just highlight a group of messages, by command- or shift-selecting them, and again, "File->Save As..." The file you save will contain all the messages you selected, complete with email headers and all.
And just so you know, you can also save your messages in Plain Text (.txt) or Raw formats.