(Moderator's Note: Original title was: "Steps to move multiple wordpress installations to a WP MU installation")
Any tips on moving multiple WordPress installations to a single Multisite installation?
 Multisite is the new name for WPMU.
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For the record MU functionality was merged into core and is now referred to as
Codex has guide at Migrating Multiple Blogs into WordPress 3.0 Multisite
A couple extra handy links if you want everything in the db and have loads of images (there's some gotchas).
Otherwise, it's just like Curtis says. Export / Import.