Creating a guest account and locking your computer is the easiest (and I argue, the best) solution but there may be another possibility...
You can create a password protected DMG using Disk Utility and then stick the Mail program (or Mail's Library for your User account, which is where your mail is stored anyway) in the DMG. Then have an Alias in the original location pointing to the corresponfing item in the Disk Image.
In theory, I think it should work, but it's still early in the morning for me, so perhaps i'm missing something.