Do you use Gmail as your primary email address? Did you ever consider backing up your emails? Yes, it can be done via a small program called Gmail Backup.
This tool is extremely easy to use, all you have to do is specify your Gmail user name and password and then browse and select the directory to which you wish to save the backup. Once done, hit the Backup button and it will start backing up your emails instantly. The time taken would depend on your internet speed, the number of emails, and the number of attachments.
Once the backup is completed, you can restore it if needed by clicking the Restore button.
It works on Windows XP, Vista and Windows 7. Alternatively, you can also check Mail Store, which is intended to backup almost all famous email services. Enjoy!
Update: As William points out in the comments, you can always download GMail emails for offline view. This tool can come useful only if your account is getting closed and you need to immediately backup your emails before they are lost. I have heard cases where some users were accused of spamming by Google and their account were closed. If you come in a similar situation, then this tool will help.