I can confirm that having your email account set to check frequently can result in a HUGE waste of data - that's what I found on my Hero. Having clocked up some enormous bills with Orange, with what I thought was quite moderate internet use, I eventually looked inside the folder on my SD card called MAIL (not somewhere you ever usually need to look) and noticed that there were multiple (10x) copies of some large files that people had sent me. It seems that if a largish file is slow coming in, and the phone starts to check mail again, it doesn't realize that it's downloading the same file again. My 2GB SD card was almost filled with around 10 duplicates of every attachment I'd received.
It seems to me that this is some kind of glitch, and I'm not happy about the huge data surcharges I've incurred.
I suggest leaving the "check mail" option at 15 or 30 minutes - you can always refresh the mail manually if you can't wait.