I thought about this as well and switched to Yandex which has a similar interface as gmail. I'd never thought I'd go to the Russians for privacy but they seem less likely to be subpenaed by the feds. That said, using a Russian email probably already brings it's own extra attention to me.
I thought of setting up my own server but decided it really wasn't worth the bother. Most of my friends and family use gmail, so gmail still gets their profile one me regardless of what I do.