What will you do with the output file? What data do you want? How will you handle attachments and embedded objects? You will need to define these things in order to get an answer.
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Have you considered exporting to PDF? Take a look at this 3rd party tool:
Users can easily turn individual email messages into PDF, or archive complete folders of email into PDF. File attachments within the email message are automatically embedded in their native format into the PDF.
Check out this 2-minute screencast: