Great! A couple of pointers for those interested...:
For a super simple version, but which requires procmail and doesn't get dates quite right, use Sjk's one-liner:
Code:
for m in *.eml; do formail < "$m" >> archive.mbox; done
For those interested in running either the shell script version or the procmail version on Windows, you'll need the super-cool
Cygwin (which has numerous shells, and procmail):
http://sources.redhat.com/cygwin/