I'm sure someone else could explain better, go ahead if you want. Many popular email providers (yahoo, hotmail, etc) attach your ip address to your emails. Your ip gives away your location so if the person you are emailing is not someone you want to have this info then you are screwed. You'll be one step closer to having your lovely little face and personal information posted at our best fansite wikisposure. So I suppose if you only received emails and did not send them back to people with it you'd be ok. Some less well known ones like hushmail and fastmail do not do that. Hushmail even lets you encrypt your emails, so that only someone who knows the answer to a question you ask can open it.

There used to be a really good comprehensive description at a GL site that was linked to when this question was asked but I can't find it right now.