There's a number of reasons you might want to how your own email server. For me, it's mostly about control. I want to make sure I always have access to all my information. And having lived through the early days of the Internet back in the early 90's, I've lived through many transitions away from various hosting companies. One of the main considerations of your email is security. These days most websites use your email as a way of verifying your identity. Some websites even send confirmation letters with your password in plaintext. So staying away from the big players like (yahoo or google) helps to alleviate problems you might have against large-scale hackers. With VPS's and similar services being offered for such low prices today, it's possible to run your own email server for anywhere from $5-$20/mo. However, another consideration is the data retention policy. Most VPS providers make no mention of their data retention policy... i.e. what steps are taken to ensure your data is wiped when hard drives are replaced (especially in RAID configurations). Without some policy in place, it's very possible that someone can claim that hard drive and read your sensitive data. The only decent way to handle this problem is to encrypt your filesystem with a password and require someone to type in that password when the system boots. This is not ideal for all situations, but may work for some use cases. However you still have the problem that many VPS's also do not allow filesystem encryption because of the heavy CPU load. Despite these factors, here are a couple resources that may be handy for people looking to run their own email servers:

• Jeff Reifman has an excellent article that talks about How to Install Your Own Private E-mail Server in the Cloud" using Amazon EC2. (~$14/mo)
• BudgetVM is another extremely cheap VPS with storage prices that work well if you have lots of emails. ($3-5/mo)

For inbound spam filtering and outbound email, I suggest using PostLayer (~$1.33/mo). If you'd like to also backup your data, BudgetVM's Backup Hosting is one of the most affordable options, offering $5/mo for 50GB (smaller and larger options are available). This is on-par with Amazon's EBS Backup Snapshots, which are available at $0.095/GB or $4.75/mo for 50GB. For a single user you can have a mail server in the cloud for as little as $5-10/mo using BudgetVM or $14-20/mo using Amazon). All totaled for 50GB worth of data, a single user with backup might cost $10/mo with BudgetVM or about $25/mo on Amazon.