If you go to system preferences and select "Mail, Contacts, & Calendars" you can setup for most popular account types like iCloud, MS Exchange, Gmail, Yahoo & AOL.
If all this did was setup mail, then I would say just use the setup assistant in your mail application. However, as many of these accounts offer services beyond mail, setting them up via system preferences allows you to control and setup the othere services as well. As in the example above, you can have gmail setup for mail and chat but NOT for calendars.
Very handy tool available in Lion.... so another possible reason to upgrade.