First of all, Entourage is more than just an e-mail program, it's a fully
developed PIM software. And because it's one single application, as opposed
to three applications (Mail, Address Book, iCal), your data is much more
interactive. Entourage 2004 also contains the Project Center, a handy
feature that will allow you to organise and share files and data.
If you want to focus on the e-mailing experience itself, Entourage offers a
convenient three pane reading mode which displays the preview pane on the
right to the e-mail list rather than at the bottom, which makes it easier to
read longer e-mails. Also, Entourage (in Office 2004) works closely together
with Word, so you can create a more or less complex document in Word (with
tables etc.) and send that as an HTML e-mail; Entourage therefore allows you
to create more complex e-mails than Mail does. It also gives you more
control over schedules, i.e. it allows you to precise the interval of time
for every single e-mail account to check for new messages etc.
Long story short: Entourage is more customisable than Mail is. If you're
perfectly happy with Mail, and if Spotlight indexing is important to you,
then by all means, stick with Mail. But if you own Office, you've already
paid for Entourage, so you might want to give it a try. Again, it largely
depends on your needs.