Following Tanktalus' thoughts, I usually delete all private messages and consider the facility only a pure transport mechanism. So...

You could provide a generic exporter module. For example, you could provide the following two features, which seem quite comprehensive to me:

• generation of an XML file containing all messages in a suitable format;
• optional configuration of an URL where the XML can be sent in one click.

This would allow all users to download the messages and... ok, you know what. Moreover, people with the possibility to put CGI scripts online could have their message filing facilities automatically filled at will.