A method that appears to work for backup purposes (ie. if you do it in advance, rather than being caught with only .imapmbox files as the result of an accident) is described at

http://www.macforumz.com/modules.php?name=Forums&file=viewtopic&t=134395&ex=-Subject-trouble-Mail-imapmbox-files-mbox-files-

It boils down to this: when you drag an IMAP mailbox into the "On My Mac" area in the Mail window, it automatically converts it to a local .mbox file, stored in ~/Mail/Mailboxes. (This may cause a lot of network access, as it needs to download all the contents of the IMAP folder to create the local copy. This seems to be happening, for me, even when I've recently synchronized the IMAP account.)

Anyway, once you have those folders created, they can be archived, and read back into Mail later, if you need them as backups. So for active and accessible IMAP accounts, this is an easy fix. For dead accounts, see the other comments, above. And pray.