Hm so I don't know if there's actually anybody out there who might find this helpful, but anyway, here's my PM-archiving system.

Attachments are lost. You'll have to separately grab/organize them if you want to keep them. The result is all raw BBCode, so you'll need to imagine all the formatting and manually copy links.

Still. Here go the instructions.

Export your PMs from your control panel. Scroll to bottom, select "Export as XML" from the cute box with the triangle, and click "Export this View". You should be prompted to download XML file called "data.xml". Assuming you have more than 50 PMs (if you don't why are you even bothering to archive anything?), this file will only include the first page, so you should probably throw in a number in the file name, say "pmin1.xml". Save somewhere safe.

Go through the pages. Save everything to the same folder. Cross your fingers and hope you don't get a PM in this time and end up with hairy off-by-one errors.

Theoretically you now have all the PM data, but it's terrible to view. Unless you like Notepad, or your favorite text editor, that much.

Try viewing the file in your browser (please please please not Internet Explorer). If you get a "parsing error", you probably need a different encoding (or maybe it's just me with my Chinese language settings, I don't dare overgeneralize here). Edit the encoding attribute with your favorite text editor like this (if you have the slightest doubt what "text editor" means, use Notepad).

Change this
[xml]<?xml version="1.0"?>[/xml]
to this (this was the encoding that worked for me, although smartquotes still get painfully mangled. SMARTQUOTES ARE BAD.)
[xml]<?xml version="1.0" encoding="ISO-8859-1"?>[/xml]
(Ignore the 1. at the very start; that's AoPS's friendly formatting system adding line numbers. AoPS lets me copy the line without the number really easily, at least.)

Now presumably you should combine the files into one big file, for easier viewing. Copy and paste will do. Your file should look a little like this:
[xml]<?xml version="1.0" encoding="ISO-8859-1"?>
<phpbb>
    <privmsg>
        <subject>Message 1</subject>
        <sender>math_explorer</sender>
        <date>2011-13-37T12:34:56+78:90</date>
        <message>For any positive integer , prove there are infinitely many positive integers n such that is a composite number.</message>
    </privmsg>
    <privmsg>
        <subject>Message 2</subject>
        <sender>math_explorer</sender>
        <date>2011-13-37T12:34:56+78:90</date>
        <message>blah why do I waste so much time trying to come up with example text that nobody actually reads anyway?</message>
    </privmsg>
</phpbb>[/xml]
XML files require you to have a big tag around everything, except for a few special tags with special question marks at the very top, so to combine two files, just copy everything between (= not including) the <phpbb> and the </phpbb> lines, and paste it just after the <phpbb> line of another one of these files. Or just before the </phpbb> line, depending on chronological order. The individual messages in a file are newest to oldest, by the way.

Okay now everything is one big XML file, but it's ugly and line breaks don't show up.

Luckily, you can create a CSS file and make your browser display the XML file with its styling. To do this, add another special-tag line at the front. Presumably, just after the first line, which we were editing to fix encoding errors. Here's the CSS special-tag line:
[xml]<?xml-stylesheet type="text/css" href="pm.css"?>[/xml]

Of course you need a CSS file called pm.css in the same folder, or you get another silly error. Alas AoPS doesn't like me uploading CSS files, so here's the whole content of my CSS file:

phpbb {
    display: block;
    font-family: "Verdana";
}
privmsg {
    display: block;
    margin: 5pt;
    padding: 5pt;
    border: 1px solid black;
}
subject {
    display: block;
    color: #006;
    font-size: 150%;
    margin-bottom: 10pt;
}
recipient, sender, date {
    color: #600;
}
date:before {
    content: " @ ";
    color: #666;
}
message {
    white-space: pre-line;
    display: block;
    margin-top: 10pt;
}

It makes the line breaks show up, and adds a few delimiting borders/colors. You can use by copying/saving that stuff (without the line numbers, again) into a file named "pm.css" (without, of course, the quotes) in the same folder as your PM content files. (If you use Notepad, make sure you've selected "all file formats" in the save dialog; if you don't use Notepad then you know this stuff already.) Tweak all you want.

Also, you can do all of the above for your sent messages; the same CSS works pretty well. You should probably put sent messages in a different file.

It shouldn't be hard to write a script to convert all the BBCode into formatted tags, or even to convert everything into HTML, but I'm not that bored now. So.

(I feel like everybody who might want this stuff will have figured it out on their own already, though. But anyway.)

Darn, I still can't do that orthocenter/median problem from four posts ago...

ETA: I believe I discovered later at some point that ampersands need to get escaped. Here's a Vim regex substitution to fix that:

:%s/&\(amp;\|gt;\|lt;\|quot;\|#\)\@!/\&/gc