It's not just you. I still prefer native apps. GMail is kinda cool, but I have no choice in any changes they do, like sharing my address book with everyone when the roll out some twitter clone. With my native apps, I can at least evaluate new versions on my own time, instead of being forced to learn something new and deal with new privacy issues when all I need is one bit of information.

As for "cloud stuff", my attempt to link my contacts to Google via Address Book ended up causing a good portion of my GTalk list to be unauthorized. It also created some other strange issues, like duping a few contacts, breaking apart others, and just overall made a mess I still haven't finished cleaning up. iCal, I tried the same route as you with CalDav and never did get all the kinks worked out in my 2 weeks with the Captivate.

My experience with MobileMe has been a little better, but not all perfect. When things go wrong, generally I have to force resync an affected system. The handy thing is that Apple shows all computer systems that sync, and I can force reset any one of them remotely. They however don't do this for mobile devices. Overall though, it's done fine to ensure my contacts and such are where I want them.