Where does my email client store my email?

Windows:

Outlook: C:\Users\<username>\AppData\Local\Microsoft\Outlook

Mac OS X:

Eudora: /Macintosh HD/Users/<username>/Library/Qualcomm/Eudora/
Entourage 2004: /Macintosh HD/Users/<username>/Documents/Microsoft User Data/Office 2004 Identities/Main Identity/
Entourage 2008: /Macintosh HD/Users/<username>/Documents/Microsoft User Data/Office 2008 Identities/Main Identity/