I use BibDesk, for Macs that let me do it. I looked at my bookmark and found this page with many tools to convert to bib files. You enter all your PMID in pubmed, export to xml and then convert xml to bib. Mendley Should let you do it as well somehow. I did it once to play around and it looked smooth. Most bibliogaphic tools should let you export to RIS and then from there convert to bibtex.
I normally use a combination of ris2xml and xml2bib (bibutils) similar to Stefano Berri description. If there is no easy ris export I use TexMed from http://www.bioinformatics.org, a website where you can enter a search-query and export the results as bibtex, the search-query can also be a list of pmids. Unfortunately the export needs to be taken with some caution because the tool might include unnecessary curly braces which you then have to remove.