Two part here:
1. Own domain means you can brand, host other services on it and generally be flexible. It also means you don't end up with the equivalent of an @aol.com or @hotmail.com address for everything.
2. Hosting it yourself also gives you options. 10 years ago gmail didn't exist and many providers charged a lot to host personalised domain (which were seen as a business service). I still keep it because:
a. I used to manage big email setups, re-building a little one was fun practice for a few hours
b. I don't really like gmail's interface.
c. A significant amount of work copying a couple of gigabytes of old email into gmail
d. If Google change some policy 5 years down the track I'll be stuck with it.
e. Trying not to tie my entire life into google.