An old article (http://support.apple.com/kb/TA47831) explained how to export an iTunes playlist to an .m3u file and reimport it. This functionality no longer works with the newer version of iTunes (I'm running iTunes 10.6 on Windows 7). This is presumably why the article has been retired and is no longer supported by Apple.
If I export a playlist, change its name, then reimport the result is an empty playlist. Here is an example of one of the lines from the .m3u file:
As you can see my file is an mp3 on a remote server ("nef") and works perfectly well in the "Music" section of iTunes.
What I really want to do is to import some playlists that have been generated elsewhere (for example using a script to identify all the US hits of the 1980s with the word "power" somewhere in the lyrics). I figured the easiest way to do that would be to work out what format of playlist iTunes would be able to import and generate one of those, I was somewhat surprised to discover that iTunes can't even import a playlist it has just exported.