(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.
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
It's not really all that hard.
I've done it a number of times and never really had issues.
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.