i, too, have exported from one WP install and then imported into another and no attachments are coming along for the ride.
the really frustrating thing is that i imported one blog this morning and it worked perfect.
then i moved onto a second one and it imported maybe 12 out of 85.
lastly i imported a third WP install and it imported 0.
there are quite a few threads about similar instances of this and as far as i can see, no one has come to a good resolution.