I know Microsoft Outlook (the full version) lets you create any number of PST mail files where you can dump mail. I have to use it at work, so I "auto-archive" mail to a file to get it off the server, and then I back up that file every day. The file is loaded in Outlook, so the mail is still accessible.
I don't mean to sound like a Microsoft booster - I'm not, really - but their free email accounts now look like a viable alternative to Gmail for archiving your mail, since they've
finally enabled IMAP for everyone. (They say "outlook.com" because that's what they're pushing these days, but it works with my live.ie address too.) Plus they have Office Web Apps, so e.g. someone sends you an Excel spreadsheet, you can view and edit it without a copy of Excel on your computer.