In typical MS fashion, Outlook has a one-way importer. It's probably a wizard that picks up Eudora or Netscape mail folders automagically.
Exporting from Outlook is a real PITA. In my trials, Eudora just couldn't reliably retrieve messages from an Outlook PST file. I think it eventually worked using Netscape Mail, but it's very much touch and go.
If I'm not mistaken, mbox files just need CR/LF translation to be properly read by Eudora and Netscape Mail clients for Windows. In other words, I'm not sure if Outlook or OE can pick up UNIX mbox files and deal with them correctly. I wouldn't assume MS to provide the ideal, flexible, correct functionality.