Here's warning to all users saving their emails from Mail in Rich Text Format (File » Save As, then set the Format pop-up to Rich Text Format). Even if you check the Include Attachments box, the Leopard version of Apple Mail omits the the attachments in the RTFD package (in Tiger, everything worked fine).
To verify this, export a message using RTF, then Control-click on the exported RTFD file in the Finder and choose Show Package Contents from the pop-up menu to inspect the package -- you'll find the original message, but none of the attachments.
[robg adds: I verified that this problem still exists in the just-released OS X 10.5.5 update, and it does. I also found it's true of exports set to use Plain Text mode. The only way to export with attachments, it seems, is to use Original Format mode.]
Mac OS X Hints
http://hints.macworld.com/article.php?story=20080915025555334