If you use IMAP to access your mailboxes, your local mailboxes are just a local cache for offline viewing and may be incomplete at any given time, such as when your Mail program is not open. It is much better to backup your IMAP mailboxes at the server level, but this is dependent upon your email provider and what they are willing to and/or already do.
If you use POP, what Spheric says is accurate, but I'd really recommend switching to an email provider that provides IMAP and manages backups.
Top
