Mail and spell checking in general will fix a lot of typos and spelling errors automatically as you type, but it fails to correct common key sequence issues. Sometimes words are an actual word, but not something 99% of people would write. It also sometimes doesn't fix short spelling errors. Fixing things like "i," "suer", "tis," "fi," "eb," "si," "ti," and "int eh." Symbol and text substitution is your friend and picks up when spell checking doesn't.
I write a lot of e-mails; often hundreds a day providing support to customers. Not form e-mails, but actual human e-mails. Mail has pretty good auto-correction for spelling errors, but it doesn't handle key sequencing errors where the space key gets hit just before the ending letter of a word, or when letters come out just slightly out of sequence form typing fast. I constantly found myself proofreading for weird auto-corrected words, fixing the red underlined unknown things Mail didn't fix, and fixing missed capitalization mistakes such as "i" and "THanks." I searched and searched, trying to figure out how to remove words from dictionary, when I suddenly realized I could override the dictionary. Until now, I just see people telling you how to make shortcuts to type longer texts and such, but it's more useful to me to have it fix my typos so I can write my text faster.
Open System Preferences, click on Language & Text, then on the Text tab to see the Symbol and text substitution list. Using this, I can fix common spelling sequence typos automatically, and have made my typo error rate almost 0%.
Here are some examples that Mail didn't auto-correct:
Mac OS X Hints
http://hints.macworld.com/article.php?story=2012110515253241