Archivemail will do exactly that:

http://archivemail.sourceforge.net/

I use offlineimap on one machine to sync my Google accounts via IMAP (one "master" directory with one directory under that for each account). I then tar up that "master" directory, bzip2 it, and move it to another folder for safekeeping.

My Mac app, CloudPull, will do exactly that. It will also back up Google Reader, Google Calendar, Google Contacts, and Google Drive. http://www.goldenhillsoftware.com/cloudpull/

I use gmvault: http://gmvault.org/

It stores the mail in a folder tree rather than a single file, but that's fine by me. It's open source & cross platform.