I just transferred mail from Tiger to Lion 10.7.2, and I used my old drag method, which I was happy to find still works. The trick is you have to drag THREE things: Mail and Mail Downloads folders, into the user Library (using the Go menu with the Option key to open, as it is now hidden in Lion), and com.apple.mail.plist from the Preferences folder, into the corresponding Preferences folder in your new Library. That last one is the key.
If you have an existing Mail folder, just delete it (assuming you haven't already been getting mail on the new machine. If you have, I guess the Import method would be best).
Then I opened the Mail folder, drilled down to the INBOX file for one of my accounts, and dragged that file onto the Mail icon in the dock. Mail then opened, warned me that it had to update my files, and I continued. This seems to get all the mail into folders exactly as it was on the old machine, with all the accounts intact. In the past (before Lion) I recall importing mail, and getting a mess of "imported" folders, with all messages marked as unread.
The final step is that you have to enter your password for each account TWICE, once when you get mail, and again when you send your first message from each account. Of course, be sure to check the "Save in my keychain" box, so you don't have to enter them again.
Dragging the old Address Book folder from user-account:Library:Application Support, after trashing the Lion one, also worked, to transfer the address book data.