Sitecore support has filed a feature request to have the Express Migration Tool move data from the archives.
In the meantime running a SQL query to get the data over works. You will need to get to Sitecore 6.6 Initial before executing the query as a new table was added to support the Archives. The lack of the data from this fourth table was the issue with my query attempts.
Here is the SQL the ultimately worked.
USE sc820u4_master;
INSERT INTO dbo.Archive (ArchivalId, ItemId, ParentId, Name, OriginalLocation, ArchiveDate, ArchivedBy, ArchiveName)
SELECT ArchivalId, ItemId, ParentId, Name, OriginalLocation, ArchiveDate, ArchivedBy, ArchiveName
FROM sc660u0_master.dbo.Archive;
INSERT INTO dbo.ArchivedFields (RowId, ArchivalId, VersionId, FieldId, Value, Created, Updated)
SELECT RowId, ArchivalId, VersionId, FieldId, Value, Created, Updated
FROM sc660u0_master.dbo.ArchivedFields;
INSERT INTO dbo.ArchivedItems (RowId, ArchivalId, ItemId, Name, TemplateID, MasterID, ParentID, Created, Updated)
SELECT RowId, ArchivalId, ItemId, Name, TemplateID, MasterID, ParentID, Created, Updated
FROM sc660u0_master.dbo.ArchivedItems;
INSERT INTO dbo.ArchivedVersions (VersionId, ArchivalId, ItemId, dbo.ArchivedVersions.Language, dbo.ArchivedVersions.Version, ArchivedDate, ArchivedBy)
SELECT VersionId, ArchivalId, ItemId, Language, Version, ArchivedDate, ArchivedBy
FROM sc660u0_master.dbo.ArchivedVersions;