Adam Tow's MsgFiler plug-in for Mail.app has been a favorite of many Mac users since it was first released in 2006. In the succinct words of Mr. Tow:
"MsgFiler is a plug-in for Apple Mail which quickly files emails into existing mailbox folders. MsgFiler's fast searching means you just have to type a few characters to find the right mailbox. Move selected messages with a click or open a mailbox without having to navigate the mailbox folder pane. MsgFiler is optimized for keyboard-only usage, perfect for Apple Mail power users."
Version 2.0.3 has just arrived on the scene, with a new installer app and refinement of the interface being the two big changes. MsgFiler now works properly on HFS+ Case-Sensitve partitions and ignores mailbox directories, and Adam has added a new "Hide mailboxes from inactive and offline accounts" feature for the proverbial icing on the cake.
MsgFiler is shareware ($8) and is available from the tow.com web site, Version Tracker, and other shareware distribution sites.