The only ones that I've saved are the messages that come with a gift. But I keep all the other messages that I like too, whether from friends or just a random conversation, in my inbox. I only delete marketplace PM's and other uninteresting PM's.
I save cute PM's you get from your friends from the events like the V-day ones and Christmas cards we had sent in the past also cool conversations with people and yeah I admit I save messages from the NPC's as well.
I've got a few really old stories saved to my saved box, but not much besides that.
Nowadays, I don't get many PMs aside from the "Your free GC has arrived" notifications, which I promptly delete. Thinking about it makes me feel a tad bit lonely. emo
~~~ A few old memories lie in there and for those reasons I can't bring myself to delete them. Ever... A few thank you pms from moderators, a pm from an admin or two. I have saved pms in there from every year except 2009. I think that must have been the year I was out of a laptop. But that being, I made it a fun goal to have a saved message from each year from then on. ~~~