It's easy to use a different email reading program with Gmail using either IMAP or POP, or to get all your mail out to take to a different provider. Go to the Settings page (link at top right of Gmail page), Forwarding and POP/IMAP tab.
This tab lets you set up POP and IMAP, with instructions for popular email reading programs. There is extensive online help available for both POP and IMAP. And in case you are not familiar with the difference between POP and IMAP, here's a simple chart:
If you decide to switch email providers away from Gmail, you will probably want to have Gmail automatically forward new emails to your new address. That same Forwarding and POP/IMAP tab lets you send all new incoming emails to a different address.
Filters tab and there you will be able to select which filters to export (as an XML file). You can also import previously exported filters here as well.
Gmail also makes it simple to switch to Gmail from a different provider. A different Settings tab, Accounts and Import, provides two ways to do this: "Import Mail and Contacts", for an initial import, and "Check mail using POP3", for ongoing fetching of new mail sent to the old address.