Last night, preparing for a backup, I copied my mail folder to another disk—and discovered that my saved-outgoing-mail file had somehow gotten corrupted at the disk level, to the point that I couldn't copy it in the Finder.
I went into Eudora and copied all the messages from that folder into a series of new smaller mailboxes (my Out box was up to 10MB, and contained all the outgoing messages I'd saved in 2004), and deleted my Out mailbox, and that seemed to work. I ran the backup and ran Disk Utility to check the disk (it reported no problems, which is kind of worrisome), and all seemed fine.
But this morning I discovered that almost all my outgoing saved messages since the start of November had been overwritten by the text of outgoing saved messages from January.
Fortunately, I just happened to have made a copy of my mail folder on Thursday evening, and the messages from Friday evening through this morning were undamaged, so after some piecing together of various things, I ended up only missing two messages, neither of them important. But that was pretty much pure luck.
So let this be a reminder to you: if you haven't backed up your files lately, go do so. If you don't have time to do a full backup, at least make copies of your most important files. (But do back up your less important files when you can; if you'll miss them at all, you should back them up.)
Ideally, keep a copy somewhere other than the same place you keep your computer—for example, burn a CD and papermail it to a friend. If you know my papermail address, feel free to mail CDs to me (labeled with your name and the date of backup); I promise not to look at the contents at all unless/until you ask me to for backup-restoration purposes.