I used the following technique to import the Google Reader subscriptions into Apple's Mail.app. This technique should work for any OPML file.
1. Export an OPML file from your feed reader.
2. Open Terminal and execute the following command:
perl -lne 'print $1 if /"(http.*?)"/' google-reader-subscriptions.xml | pbcopy
3. Open Apple Mail.app and do the following:
Go to File » Add RSS Feeds...
Choose the Specify a custom feed URL radio button
Click in the text box and hit Command-V to paste the feed URLs
Click the Add button
What this will not do is bring in folders and groups. The Perl command above simply yanks the urls out and we pipe this output to pbcopy for pasting.