Regularly backing up your mail will ensure that you will never lose critical data should you have a hard drive fail. Regardless of the mail client you are using or backup method you choose, keep in mind that it would be in your best interest to store these backed up files on either a separate external hard drive or burn them to a CD or DVD for off-site storage.
Outlook 2000 / 2002 / 2003
Backing up your Microsoft Outlook information is quick and easy with Microsoft's Personal Folders Backup, a free add-on for Outlook 2000 and above. Personal Folders Backup creates copies of your .PST files at regular intervals, making it easy to keep all of your Outlook folders safely backed up. With Personal Folders Backup, you can choose which of your .PST files you wish to back up, and how often you wish to back them up.
Outlook Express
Microsoft has an excellent Knowledge Base article on backing up Outlook Express 5 and above. Automated commercial solutions to consider are Outlook Express Backup Wizard, ABF Outlook Express Backup Wizard, Auto Outlook Express Backup, and BackRex's OE Backup.
Mozilla Thunderbird
MozillaZine has an excellent article on full Thunderbird profile backup and restoration. Mozbackup is also an outstanding tool which can be used to backup both Thunderbird and Firefox profiles.
Apple Mail
Apple offers this guide on backing up mail and preferences for Apple Mail. This process can also be automated via the .Mac backup utility.