Where is my mbox located at?
Open Terminal and type mail

For example, I created a test message for the purposes of this answer.  Now, when I type the mail command:

mail version 8.1 6/6/93.  Type ? for help.
"/var/mail/allan": 1 message 1 new
&gt;N  1 allan@Allans-iMac.ho  Sun Mar  6 23:34  14/464   "test"
? 


You can type ? for help, or just select the message number, in this case 1 to read the message.  If you want to delete the message, type d1.  When you are finished type quit.

To go back to a message that has been saved in your mbox, just issue the command:

mail -f ~/mbox and it will open the mailbox of the currently logged in user.  From there, you will be able to access read/reply/delete to mail that no longer shows up as unread. Please note that the "f" option has to be lower-case.

For a full listing of commands, just type man mail for the manual pages or go to mail command for reference.