I notice that when Mail gets new Exchange mail it then synchronises every local folder with corresponding folder on the Exchange server.
When it does this, the CPU usage goes over 100%, fans come on and Mail is unresponsive (spinning rainbow-coloured wheel).
After about 5 minutes it will complete syncing all the folders (I have hundreds) and CPU usage will return to normal, fan quietens down, and Mail becomes responsive again.
It would be great if there was some way of forcing Mail to only sync certain folders, and have the option of when I want to do a FULL sync of ALL folders. I can then go for a coffee while it does its thing....