Backing up your Gmail locally
Now, if you're wanting to use an email client that you already happen to use for other mail (for example, your work email), you may not want all of that Gmail spilling right into your inbox. So to prevent that, make sure that your email client supports message rules based on the incoming mail account. In Outlook 2007 (I remember seeing it in 2003 as well) there's a rule called "through the specified account" that allows you to choose which incoming account it should act on. That way you can move all mail coming through a specific account to a folder, which can then be moved to a different PST file for archiving.
Once you've determined how you're going to keep from mixing up all of your email, go ahead with setting up the connection.
To back up ALL of your Gmail, simply navigate to the Forwarding and POP section of your Settings in Gmail, and in the POP Download section click the radio button beside "Enable POP for all mail (even mail that's already been downloaded)".
Then configure the email client exactly as described on the Configuring instructions link at the bottom of the POP Download section. There are instructions for virtually every major email client out there, and even if your client isn't listed, it should be fairly simple to see how to configure yours from looking at instructions for a similar client.
And that's it - now all there is to do is wait, and wait, and wait. If you're like me and your Gmail box is already well over half full, it can take quite a while to download close to 2 Gigs of mail. But think of the peace of mind you'll have knowing that your mail is safely in your hands.