MsgExport is free application can only export SMS (not yet MMS). It can export to HTML (UTF-8 Encoding, so it should support any characters), and Text. When exporting, it will create 2 files, one is ordered by contact name, and the other is ordered by date. If you have memory card in your phone, it will export to E:\SMSLOG, and if not, it will create the file in C:\DATA\SMSLOG\. The filename contains current date and time. If you cancel the application, it will stop at the point when you press cancel (the messages that are already exported will not be deleted).
Free Download: MsgExport.sisx