Don't just type an email address on your website! That's so not user-friendly. Can you hear my valley girl voice yet? For some users of your website who don't know how to copy and paste (admit it, you may be one of them), creating the E-mail link will make it so all they have to do is click on the link and then they can email you!
Instead, type in the email address into the module. Highlight it. Click on the link button (the one that looks like a chain link). Change the "Link Type" drop-down to E-mail. Put the email address and voila! You have just made your website that much more user friendly.