This is a serious shortcoming, which I believe is present in both Mail and Outlook. The first three responses in this thread were not helpful, and two of them were anti-helpful, by implying the OP was doing something wrong.
Suppose the OP is an accountant, or a lawyer, or a doctor, and is legally required to retain business correspondence for, let's say 10 years. Suppose further that the OP does so, and has a primary machine storing all the emails, and has a backup drive, and an off-site backup, and heck, an online backup too.
And finally, suppose the OP wants to send and receive email while traveling, and uses an Air, with limited storage space. Can you see now that there is a legitimate problem here?
It's not hard to imagine receiving 30 emails a day. Some of us probably see 10 times that. But even 30 a day becomes 10,000 a year, and then 100,000 in 10 years. If each message is 100KB, that's a solid 10GB of mail.
Now, does anyone have an actual solution here? Perhaps some way to tell Mail only to download messages from the last week or month or year? Or a different mail client with such a capability?