I'm not sure if there is a program that does it, but I have my own workaround.
I bought Audio Hijack Pro (on the mac) and use it to record the line-in input. I use a 3.5mm to 3.5mm audio cable (one in the headphone jack on the iphone, the other end in the line in). Then I name the file with the persons name and date, hit record in AHP and then tap play on the voicemail. And voila! voicemail on the computer.
It's not ideal, but it works, and now I have important voicemail's saved. I too would like a native way to export voicemails, or at least import them into itunes or something.