You can of course just use POP3 on your favorite mail client. I decided to create a hotmail.com mirror of each gmail account. Trueswitch.com makes it easy to do the email backups cloud to cloud. There are other “cloud backup” suggestions at Digital Inspiration.
Why do your care? See Gmail accidentally resetting accounts, years of correspondence vanish into the cloud? (update). And there are the hack risks such as James Fallows reports this week. My speculation is that Deb Fallows was hacked by reverse engineering of her password. It isn’t a good idea to taunt spammers or hackers.
UPDATE: today I did a serious lockdown on our Gmail accounts using two-factor authentication. The second factor being a six-digit verification code sent to our mobiles via SMS. Google calls this 2-step verification. The implementation is very well thought out, covering practical solutions for fallbacks to your mobiles, and for applications, iOS apps, etc.
UPDATE: also have created a cloud-cloud backup of Gmail via Trueswitch to a hotmail mirror address.