Creating a personal mail server gives you more control over your email than using a mail server provided by a third party. By creating your own mail server, you are trading convenience for control. There are several options available, depending on your needs and concerns.
When you use a mail server provided by someone else, you are trusting that party to store your email and not use it for inappropriate purposes. Many email providers scan email for advertising purposes. If you are not comfortable sharing your private information with corporations, a personal mail server may be right for you.