1. It takes a few hours to set up, sure, but it isn't difficult – setting up a mail server on a *nix box isn't exactly uncharted territory, every possible aspect of it is documented to death on the web. And once it's up and running it takes practically no effort to maintain. Yes, even with spam filtering that keeps my inbox spam free, despite my address having been used in several public newsgroups and forums.
2. It's a matter of preference. I too use Mail.app primarily, but I like being able to SSH to my server and read my mail in Mutt. As nice as Gmail's UI is in many regards, it's useless for threaded discussions on mailing lists.
3. Err, ever heard of procmail or maildrop, among (many) others? This is one of the major advantages of running your own mail server, actually; Gmail gives you very limited filtering options, especially when it comes to mailing lists.
4. Gmail has great spam filtering, but I find my Postgrey + SpamAssassin setup to work just as well.