Even this needs to be treated with care though. I signed up to Demon long before and web mail offerings were available and hence have a very long history with Demon. However in an attempt to extricate myself from Demon I have recently signed up for my own domain and currently forward messages to my Demon account.
However it seems that the domain I registered has been used before (by a small business run from home that stopped trading and stopped paying for their domain name) and I now get loads of spam (and some not so spam) that is really aimed at that business. Clearly the owner of the business had continued to use the domain address for personal use long after it had expired (with no adverse effect until someone else registered the domain) and I got a considerable amount of personal e-mail.
If you do set up your own domain you need to think about what might happen if you ever decide to stop paying for it.