The real trick comes in with it not just being PM's to or from other people, it's now to/from inside of a conversation. I have one thought that could work but it would either involve multiple files or involve one file that may be incompatible for some people. But could always be offered as an option for those who want it.
The idea is a bit advanced so *IF* it were to get done, I doubt it'd happen before 3.1, unless it's done as a hook (which I guess could work?).. Export the conversations individually into html files, with a master html file, so you would have a 'webpage' of conversations to read. Would need to include image files and such, then all of it get zipped up to keep it all inside of one file.
Other method would be basically the same except having each conversation being a self contained file (mht for example) and a root page, with all being inside of a zipfile. Fewer files but not everyone would be able to make use of them.
Until then though, XML, TXT, etc would have to work. HTML would probably have to be one massively huge page with all Convo's/PM's on the same page and no images at all.