Mail for Mac OS X 10.4 stores messages in individual elmx files instead of a single mbox file. This allows Spotlight to index individual messages, but makes it harder to move your mail to other mail clients like Thunderbird.

Two existing hints (A script to export Mail's mboxes for Thunderbird and 10.4: Export Mail messages to Thunderbird, revisited) seem to imply that you need a script or application to easily create an mbox file. However Mail (I'm using Version 2.1 on 10.4.7) does know how to create mbox files -- it just doesn't use the term Export.

1. Select the messages you want in the mbox file. (Press Command-A to export the whole folder.)
2. Go to the File menu and select Save As...
3. Enter a filename for your mbox file. The default filename is the Subject of the first message, but this doesn't mean you'll be saving each message individually.
4. Select where you want the file saved.
5. Select Format: Raw Message Source
6. Save.

The result is a file in mbox format, complete with MIME attachments, that you can import into other mail clients.

The only drawback is that Mail stores message status (Read, Unread) separate from the elmx files, and it won't create X-Status headers when exporting to mbox. This means that all messages appeared to be unread when I import them into Thunderbird.