Some people have been having problems with the Mail.app rules in Leopard. Mail filtering rules somehow don't seem to be working the way they should. I opened a file in ~/Library/Mail called MessageRules.plist. This file contains all the rules you've created, as well as the Apple-provided rules (eg. junk mail rules and News from Apple). What I noticed was that this file also contained very old rules that I had created, but were not visible in the rules list in Mail.app.
My hunch was that the file had become corrupt. So I removed it, as well as MessageRules.plist.backup in that same directory, and restarted Mail. I made some new rules and they worked. I actually think this issue may have started before I upgraded to Leopard, so it's worth a shot in Tiger as well.
Unfortunately, now you need to recreate all your Mail rules.
Mac OS X Hints
http://hints.macworld.com/article.php?story=2007122008051289