If you've chosen to deliver mail to a POP or IMAP mailbox, that mail is stored in Maildir format inside the "mailstore" directory in your home directory.
Advanced users can view the mail files using a shell connection, or retrieve the files for backup purposes using a tool like rsync (or even by FTP if you add an additional FTP account that has access to the mail directory).
To see the exact path for a given e-mail address, enter the address in the box at the top of this page.