Apple has provided scripts to import your mail from your current mail program to the mail.app. It even has a script for Entourage and it works flawlessly! Just don't click on the Apple Script icon in the dock while it's working because it'll give you a funny error. Just let it do its thing, continue surfing (gotta love multi-tasking) and it'll tell you when it's finished. Too bad it doesn't import rules as well. Here's the link:
Mail import script
Mac OS X Hints
http://hints.macworld.com/article.php?story=20010325220150696