Having downloaded Thunderbird, and quite liked the look of it, I decided to migrate my mail from Apple's Mail. Unfortunately, since I have many mailboxes, it's quite a convoluted and time-consuming process -- it involves going into the package contents of each mailbox, copying the mbox file and renaming it, then restructuring the folder hierarchy.
So, I've written an AppleScript to do it all automatically. Point it at your ~/Library/Mail folder, and it will extract all the mbox files and put them in the correct hierarchy in a new folder. Simply drop these new mailboxes into your Thunderbird mail folder, and away you go. I've tested it in OS X 10.3.6 with Mail 1.3.9, and it seems to work fine, but I make no guarantees about other configurations.
[robg adds: I haven't tested this one, but I have looked at the script and it looks fine. I've also mirrored the AppleScript here on hints in case the original goes away.]
Mac OS X Hints
http://hints.macworld.com/article.php?story=20041209123641618