I just found out that when I upgraded to Panther last week, the preference settings in OS X Mail got changed without my knowledge.
Everything has been working fine, so I had no reason to think anything had changed. So, I never looked into it until tonight.
Earlier, I was helping a friend with a question about Entourage. I haven't used Entourage since I began using OS X Mail full time about 3 or more months ago. When I launched Entourage, it checked for new mail. There shouldn't have been any messages on the server because I had just checked using Mail.
Well, to my surprise, Entourage indicated I got a new message.
Oh my!
It downloaded over 300 messages!
When I looked at the preferences in OS X Mail, they were set to leave my messages on the server for a week before deleting them!
If you have recently installed Panther... you'd be wise to have a look at those Mail prefs.