It really depends on who you "fear". I mostly use Forefox Relay and have chosen Google (Gmail, Android, etc) as the "devil I know". If I end up in a state actor's cross hairs (TLA, etc) I assume I'm a meat popsicle. Mostly I'm trying to thwart internet randos/vigilante and marketing firms that want to violate my privacy and I think Firefox Relay is enough to trip them up.
I don't view Google as escapable and I think they are under a lot of scrutiny. My view of Google is they want to collect and keep data and sell access as a service without losing their own control of the data. I don't see them having much incentive to sell raw data to others.
I have a custom domain name I now use for work-related contacts and societies. Currently it runs Google Apps since I don't want to deal with spamlists etc. But I can easily move it elsewhere with minimal interruption. I almost did during the recent Google Apps drama. I recently changed jobs after being at my previous employer for about 8 years and learned it's a real pain/time sink to chase down contacts otherwise when you move employers. And my new employer has draconian BOFH email retention policies that maybe make sense for employee email but are just hell for my professional but not employer-tied identity/activities. I don't use it for work that belongs to [current employer], it's for work networking things like society memberships, certification agencies, working groups, society committees, etc. Basically work that would apply at any of my employers and would move with me elsewhere.
Receiving mail doesn't usually seem to be that difficult, sending mail tends to be the challenge. So if you only care about receiving mail it may be easier.
I tried it a few years ago and it was fine until some asshole impersonated my domain and a major spamlist decided to hate my guts. I'm not a professional email admin so updating to the latest and greatest standards wasn't easy. At least at the time. If you're okay with bounces and silently undelivered mail it's probably fine. It's probably also a lot easier nowadays with scripts and easy how-to guides about how to setup the domain authorization. But my experience really turned me off of the "hey it's fun to run a mail server" thing. Particularly after Google and others came out with the ability to just use Gmail with your own domain.