While there are multiple software solutions that cost money, I prefer the free alternatives. In this case it comes in the form of Mozilla Thunderbird, and to be more precise, the Windows version. Thunderbird’s import function imports your current Microsoft Outlook folders including attachments and all. It also has options for Outlook Express and other mail programs, but I have not tried those. Once imported, you can retrieve the converted messages from the profile folder (Thunderbird/Data/Profile/Mail).
On the Mac, after installing the Mac version of Thunderbird and setting up your accounts, you simply copy the content of the mail folder from the Windows version to the corresponding location on your Mac (~/Library/Thunderbird/Profiles/yourname/mail).
If you rather use OS X’s Mail Application, then additional steps are necessary. Mail App has an option to import from Mozilla but I was not too successful with that. Among other things, it creates those “mysterious” white folders that cannot contain messages directly, only other folders. Alternatively, this Mac OS X Hint (also check out the discussion) explores several other ways, however, I have not yet tried this myself.