It may be illegal to check emails although this has been argued both ways in courts but it is not illegal to monitor other Internet traffic or computer use.
Unless you work for a big corp. you probably don't need to worry. The expense of keeping track of employee Internet use is prohibitive to most companies. But, most companies run their own email servers, like MS Exchange. Usually your System Administrator will have access to your account, or should. Your email can easily be accessed on the server without your knowledge. So, don't use your work email to set up your next drug deal.
AND REMEMBER: AFTER YOU ARE GONE YOUR EMAIL IS STILL ON THE SERVER.