I had a putty generated ssh key that I wanted to use on my linux box (long story). Turns out it's simple to convert it using linux tools. Here are the steps:
sudo aptitude install putty-tools
Then, to convert a private putty key named id_dsa.ppk to an openssh key named id_dsa:
puttygen id_dsa.ppk -O private-openssh -o id_dsa
Then just type in the key's passphrase and you're done. You can type
puttygen --help to see similar options for public keys.