This is an interesting issue. Both Mail.app and Thunderbird are excellent email applications.
I don't think a direct comparison is necessarily the best way to approach this. At a very high level, Mail.app is a beautiful feature filled mail app that is well integrated with the rest of OS X. Thunderbird is a standards based multi platform (i.e. works with a wide variety of OS', hence not custom integrated to any one of them) mail app. It is also very feature filled and quite attractive in its own right, although it doesn't really exhibit a classic Mac look n feel.
Thunderbird stores its email in industry standard .mbx format. Mail.app uses a proprietary Mac format. You can convert from the one to the other with some effort, but the fact that Mail.app uses a proprietary format remains.
You can easily move your Thunderbird email boxes from Mac OS X to Windows or to Linux. It is as simple as copying one directory from its Mac location to its Windows or Linux location and you are done. I do this myself quite often, since I work in a mixed Mac, Windows and Linux environment.
On the other hand, Spotlight indexes all the contents of your mail messages, making Spotlight searches of them a breeze. This in fact is why it uses a non standard format - to enable Spotlight. Also, the Leopard version of Mail.app sports some lovely stationary - Thunderbird doesn't seem to support this yet. Odd, since as long ago as Windows ME, Outlook Express supported this very visually attractive feature.
In the end, it is up to you. If you are concerned about easy transportability of your emails, go with Thunderbird. If you are looking for excellent integration with Mac OS X, go with Mail.app. Both of them are excellent email apps. This is not a choice between good and bad, but rather between good and good.