I have used a Mac tool called Email Extractor, though it can produce some odd results.
@Andrew, Outlook Express for Mac creates and downloads individual files on your hard drive. However, I had to stop using it because it gunks up any search results in Finder with hundreds of emails.
I used to use Eudora, which created one easily searchable file per *mailbox*, rather than per message. But it hasn't been supported for years, won't even run on anything OS 10.6 or newer, and finally stopped running on my 10.5 desktop machine. I'm now using GMail and Airport on my 10.9 laptop, both of which have the advantage of device-independence--but I miss an awful lot of features Eudora offered.