If you are switching between mac and do not use mobile.me, but you want to carry your mail rule’s around you can play a little trick. The file that contains the mail rules is located at
~/Library/Mail/MessageRules.plist
You can just manually copy it from one box to another (you may want to make sure that the target machine does not run Mail), or you can create a little cron entry that uses rsync to keep them in sync.