I have never thought about this before I read the story at TechCrunch, you can now get your voicemail messages delivered to your email downloadable in mp3. Just sign up at GotVoice. You can use it for free, but I guess that if you first start using it and you find out that you like it, you would probably switch to one of their premium services.
I haven´t used it myself, and I am not sure if you can use it outside the US. But I will take a closer look at it.