Setting up your own email server will bring you into the wonderful world of big email corporations not delivering your emails until you subscribe to their whitelist with, for some of them, subscription fee.

Back in the time, I had this problem with sending emails from my private server to yahoo or microsoft (hotmail, live.com, etc...), both refusing to deliver my emails to their clients as I could be a potential evil spammer.

For the subscription fees, a few weeks ago I saw a price chart for <I don't remember which company, probably Microsoft> about how much you have to pay them depending on your situation and how many emails you plan to send to their servers. Unfortunately I didn't find this page again.

I think the best option is to go for a paid service with a good privacy policy. It will cost you a lot less in time and probably in money. Also, they will probably be more reactive than you in case of problem, and more aware about security.