Open source, portable Mail Browser Backup does what it says
Browsers: Mozilla Firefox, Flock, Internet Explorer (Favorities ONLY), Mozilla Thunderbird, Opera (browser profile and mails), Apple Safari, Google Chrome, SRWare IronNow, MBB isn't portable in the truest sense of the word. It does require the .Net 2.0 runtimes but nearly every machine I work on has those installed at this point. As the image attests, it's best to close all the applications you want to back up before starting the process. If you don't, you will be prompted to do so and things will carry on without a hitch after you shut things down. Restoring your data is just as easy and speedy.
EMail: Windows Mail, Windows Live Mail, Outlook 2003/2007
Instant Messaging: Windows Live Messenger, Windows Live Messenger Plus!, Pidgin
Others: FileZilla, Windows Contacts, Windows Calendar
MailBrowserBackup is a free download, ridiculously small at about 130Kb, and totally open source - so you're free to hack in support for your favorite not-yet-supported app.