My recent migration over to WordPress was about the fourth or fifth blogging platform I've used in the last eight or nine years. As far as possible I've preserved the post content each time I've made the move.
For the latest, here's a quick C# app I wrote to do the transfer. It polls the Windows Live Spaces MetaWeblogAPI to download all of the posts and writes them to a simple text file. Then it republishes those posts by reading them from a file and calling newPost on another blogging service.
The app requires the XML-RPC.NET library and Visual Studio 2008 for compilation.