Pine has a neat (and well-buried!) feature where you can tell it to auto-archive from one folder to another.

I read throug my ISPs IMAP4 interface lots of ways. http://www.mollymail.com is a subscription IMAP4 web
gateway (subscription == no ads!), plus I can read
from my wife's machine as well.

When I finally read a folder on *my* machine, at close time it automatically moves all not-new items to a local folder on my machine and deletes them from the ISP folders.

Also - for those not using IMAP4. Remember that the IMAP separates 'body' from 'attachments', so that you can
quickly read all your email bodies, and then pull down big attachments. You can also pull down small attachments at the end of a mail, skipping over large attachments at the front.