Here's what Uncle Al has to say on this subject in RoadBikeRider.com's Current Newsletter (10/30/08):

Black marks can show up on anyone's rims. They're no problem unless you don't like the look. They're caused by the brake pad compound transferring to the rim surface.

Black marks can easily be removed with fine steel wool, the kind a furniture maker would use to smooth a wood surface. Wipe the rim and tire sidewall well after using steel wool. You don't want any particles getting into the brake pads.

Acetone works well too, but it's nasty stuff. Wear protective gloves and make sure the area is well ventilated. And don't get any on the brake pads, tires or any other rubber or plastic you don't want to melt.
He goes on to talk about rim scoring, so the full article is definitely worth reading. (I think the link above will only work until next week's newsletter comes out)