The only people I know still using Hey are doing so because there's no way to move your address elsewhere. It's a PITA to change your email everywhere (and some unfortunate place don't let you; e.g. email as the login and primary key)

If you cancel, 37signals let you keep your hey.com address and auto forward mail to a new email address. :)

They also say that this is “just a courtesy” and not to rely on it.