Last night, I received an email with an atttached GIF that defied all attempts at dragging to the Finder. I tried targeting the desktop, an OS 9 disk, a network volume, and all the various folders on my OS X drive. All failed; I could drag the icon out of Mail, but when I dropped it on the destination, it simply bounced back.
After nearly giving up, I remembered the Mailbox -> Rebuild Mailbox menu item. With the troublesome mailbox selected, I told Mail to rebuild the mailbox. After the rebuild finished, I was able to drag the attachment to the desktop without any problems.
So if you've got a finicky attachment, try rebuilding the mailbox which contains the message...
Mac OS X Hints
http://hints.macworld.com/article.php?story=20020517091807566