This assumes Outlook 2003, Windows XP Professional, and a default configuration.

Email Messages
If everything is stored in Exchange Server, then just configuring your Exchange profile should bring down all mail from the server.

If you are using local email storage, you will want to move your .pst file(s) to the new machine.

Signatures
C:Documents and Settings[username]Application DataMicrosoftSignatures

Rules
Export rules from within Outlook (click “Options” button in the rules configuration area). You will save them onto your harddrive as [something].rwz. Import these rules to the new machine.

Navigation Pane Settings
C:Documents and Settings[user]Application DataMicrosoftOutlook[profile].xml

Nicknames
C:Documents and Settings[user]Application DataMicrosoftOutlook[profile].nk2