Microsoft, in their infinite wisdom, did not use a the same file format for email between Outlook and Entourage (their Mac version of Outlook). The solution I’m using to get mail from Outlook to Entourage is to first upload the mail to an IMAP mail server in Outlook, then download it again in Entourage. Nothing is lost–attachments, formatting, everything is retained. I’m going from Outlook to Entourage, but I’d guess the process is the same both ways.
If you’re like me, you probably don’t have an IMAP server sitting in your closet. Luckily, there are alternatives. I found St. Georges International Email Service. They offer 3gb (yes, gigabytes) of free IMAP email. No ads, no crazy sign up process, nothing. How they do it, I have no idea, but I’m using it to transfer mail and it’s working fine.