Archiving your Entourage mail is a chore that varies in ease and effectiveness, depending on how much time and tweaking energy you're willing to put into it. You can drag messages to Finder folders to export them, or pull out entire folders as MBOX files; you can also export folder sets to Entourage's
proprietary idiosyncratic RGE format... neither particularly appealing. You can streamline this process with Paul Berkowitz' multifaceted Import/Export Entourage script, but it's still a pain.
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.