I would suggest you use IMAP, and then set it to download a full offline copy of all emails and folders. The best clients that support this by default are Mac Mail on Mac OS X, or Outlook 2010 (or 2013) on Windows. The default for those clients is to download the full email including the attachments. In addition both those clients will index information inside the attachment if it is a txt, pdf, or word document. This is very nice when wanting to search all your email quickly, including inside attachments. That is the best solution I can recommended, and it has worked very well for me.
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