I have an abject (irrational?) fear of "tha cloud". I keep all my data locally, except when I specifically want it public, or on a setup I pay for - meaning, in this case, shared hosting for my mail (IMAP). I don't trust large corporations whose methods of making money are, essentially, using your data to sell you stuff.
The only 'cloud' I'd in any way wish to trust with my data would be MobileMe (due to it being a paid service), and just for syncing (not for 'ultimate' storage - I'd keep my own backups, thanks!) - which would be overkill for my needs at the moment, given I only have one Mac, and one iPod touch. iTunes syncing works great for now.
...Maybe I'm just paranoid, or maybe time will vindicate my beliefs.
Err. What this is all intended to say, is that this is why I like Mail.app, and all the related apps (Address Book, iCal, etc.). It keeps my data under my control. I also dislike webapps, but that's more for the interfaces being inconsistent and not always available.