I've found at least two applications in the App Store that do this:
The simple Color Palette Importer (which worked perfectly for
me) lets you import Adobe's aco files more or less directly into the OSX color picker.
The more comprehensive (and more pricey) ColorSchemer Studio lets you import palettes from a number of different formats, including Adobe's ase and aco, and exports palettes to, among oter formats, Apple's clr.
These two are just the ones I found, but there are tons of different apps for managing colors/palettes in the App Store, so there may be other apps there that can do the job, too.