Where is the mail kept if you are using Mail.app?
Look in ~/Library/Mail
If you use the GUI Finder you can only look down as far as a particular mailbox (a .mbox extension)
If you use the Terminal interface you can traverse the path down into the .mbox which is actually a directory and find the table of contents, mbox file, the mbox index file, and an Info.plist (property list file).
Mail attachments are kept in the mbox file, not as separate files.