This house came with an old mail slot built right into the house.
The mail came into the entry way. The problem is that it was basically a 3"x5" or so hole directly into my house, covered by a little door.
Needless to say this wasn't very efficient for the winter months. So, I decided that I'd get a new mailbox to mount on the house. I put it right over the old door, which was caulked over and will be filled with insulation. The new box has a lock so my mail is secure.