For an easy, one-step archiving option in Entourage, your best bet is Entourage Email Archiver X (EEAX), just updated to version 4 -- now Leopard and Entourage 2008-only, with v3.6.1 still available for Tiger/2004 users. Along with the companion Entourage Email Optimizer product that Scott mentioned last week, EEAX can streamline your archiving to six different target formats. You get Spotlight-searchable archives, a FileMaker template for database storage, and .eml native-format messages in case you need to bring things back to the mothership. A single-user license of EEAX is $30, and upgrades to v4 for existing users are $10.
If you've got scores, hundreds or thousands of mail accounts to archive, or you're converting from one mail format to another (say, from Outlook Express to Entourage), that's a job for an industrial-strength email exporting and conversion tool. You might want to check out Emailchemy, which has a pretty good track record; it's the only tool I know that can go directly from Outlook 2003 PST files to Entourage RGE archives. The latest version supports Entourage 2008 and includes a Google Apps migration tool as well. Emailchemy is $28 for a single-user license.