I save all of mine by downloading. They're all precious memories of your times, be it good or bad, of PC for you. Really, they're unique for everyone. Sometimes you want to scroll back to be nostalgic, or use it for blackmail. That works too.
Sometimes you laugh at your own stupidity quite a bit by reading them again XD
Read them, then delete them, unless it's something worth saving. I prefer not having my pm box full at all, it will look disorganized.