I guess it never dawned on anyone else to save email via drag and drop? Drag the messages from MESSAGE LIST column to your desktop. Later I move them from there to a folder via Finder. When done that way it includes all attachemtns as well as the message.
There is also a difference in using the COPY command depending on how you invoke it in Lion Mail.
If you select multiple messages in list view (mail or RSS) and right click COPY it will copy each to your destination mailbox or even as attachments to another email. If you select COPY from the Title bar menu it will copy the contents of each message as one long RTF file which can be pasted into iText Express, Pages, or another email. You can even use SERVICES to create an instant ePub if you have that installed as a service.
If you select a bunch of messages in list view and choose FORWARD from the title bar Mac Mail will open a new message wtih all the messages converted to one long document for posting to someone. It is kind of neat to read RSS feeds this way on teh iPad instead of individual RTF messages slupered with RSS Wizard.
Web Archives are in reality a form of RTFD file. You can convert from one to the other extension with ease.
RTFD are more or less Apple only formats, Windows and especailly Linux users are SOL.
You can drag a RTFD to an email and on the iPad when it is viewed in iPad Mail choose QUICK VIEW instead of tring to open in some iPad app like Goodreader which probably will not handle it correctly in the first place.
ePub files can be converted to RTFD by opening them in iText Express and saving as RTFD.
IMHO you can pretty much do anything you want with the Mac OS if you put your mind to it.
Apple could sell a ton more Macs if they put some version of iBooks in OS X. The ePub readers for the Mac tend to be on the sorry side compared to iBooks. They exist but they lack a lot of features I use every day.
Vic