Furthermore, not only can you re-direct mail targetting your own address at your own domain to your Gmail/Yahoo/Hotmail address, but you can also configure your Gmail/Yahoo/Hotmail account to use your own address at your own domain as the "from" address on outgoing mail.
 

Most people don't know about this latter feature, and it just makes you look so much better if your e-mails also appear to be coming from your own address at your own domain.