It's something that I actually liked and got quite used to in 6 years of using Macs. However I'm finding with Leopard, it's getting increasingly difficult to get all IMAP servers to behave this way.
Googling around to solve this little problem in fact turns up more posts on how to go the opposite way: people who don't like all the folders under Inbox. Sounds like I'm in the minority. Finally, I find this well-written posting on the Apple discussion forums about why the "new" behavior of separating out all a site's folders from your Inboxes is actually a good idea:
Now, in Mac's Mail.app, the default behavior when you have multiple mail accounts is to group all the inboxes up at the top (Inbox will have a triangle next to it and if you click it it will show all your accounts' inboxes there), and put the folder hierarchies below in sections named for the account under which they reside. That way, all your new mail appears up at the top. If it didn't do this, then if you had a large number of folders (I have about 50, each with subfolders) in one account, you'd not even be able to see the inbox for your second and third and fourth accounts on the same screen; you'd have to scroll down just to get to your inbox for those other accounts. Similarly, the Sent boxes, Trash boxes, and Junk boxes are grouped at the top as well, again, for ease of use when you have multiple accounts. (credit to igrok-mac)It's a reasonable argument, and sounds a lot like most Mac OS Human Interface type stuff. So given the behavior I liked will be increasingly difficult to preserve moving forward, I'll give the new layout a shot, who knows, maybe I'll even like it.
To do this with Courier IMAP servers, just change your IMAP Path Prefix to INBOX if it isn't already (I noticed Mail.app now asks you when creating a new account against a Courier server if you want it to do this automatically):
For Gmail, I just renamed all my folders, err, labels and removed the "INBOX/" prefix, which I'd so cleverly added.