GMail has been very reliable with regards to their service and keeping your mails intact, but recent successful attempts at hacking, along with the fact that Google can suspend your account and deny access any time they want, ought to make people queasy.
Gmail Backup is a free software, for Windows, Linux and Mac OS X, that downloads and backs up a local copy of Gmail account. Mails are downloaded with Gmail’s IMAP. The Windows version has a simple graphical interface, while Linux and Mac OS X versions are command line. Messages will be saved in Microsoft’s EML format complete (including attachments).
GMail Backup supports Gmail accounts and Google Apps accounts. You need to enable POP/IMAP access in GMail Settings.GMail Backup is still under development, so if you are not comfortable with using it yet, you can use the instructions given by Google, to backup mails to Outlook or to Thunderbird (Mac OS X users can back up with Apple Mail). Linux users can follow this tutorial by Matt Cutts to backup mails.
Download GMail backup.exe | Download page
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@teraOm: Though that is possible, most users would like to spare the hassles and just use a standalone application that does it without tweaks. Remember that it is not just uber techies who use GMail.
When i can just download (imap / pop ) using apple mail, i do not understand a separate process of a backup..