I've run my own mail server since probably 1998 or so. I have had a few problems here and there, but nothing major. The worst is when the power goes out, but smtp has a wonderful resend feature when the destination server isn't responding.

I know my emails aren't being farmed from the NSA (at least from my side). I know Google isn't scanning all my emails to sell me garbage. I know it won't be shut down because of some errant algorithm. I have a really short email address. I can setup family and friends easily. I can send newsletters without having to deal with someone else's policies (on my side anyway). I love it.