
Yes my friends, this is a very useful utility if you use Gmail: Gmail Backup allows you to save all your messages with an easy to use Windows or Linux application:

Just enter your complete email address (like toto@gmail.com), your password, a folder for string all message and press [Backup]: et voilà! (I like using french expressions in my english text ;D ): your backup is in progress…
Depending of the amount of messages you have, the backup process might take a while… In my case, the backup took about one hour for around 230Mb of data.