SendGrid is a nice service, but we've had several nagging annoyances:
1) The credentials to send emails are the same as to login and change plan settings. Seriously? Impossible to lock down the account on a large team from a security perspective. Makes their subuser management feature totally pointless.
2) Our dedicated IP got blocked by an RBL and we had to go to them about it. If I'm paying them for the pain of deal with email crap, I expect them to monitor their own logs and detect when an IP is blocked and come to me, not the other way around. And it wasn't just our IP... the whole class B our IP was on was blocked.
3) Their default behavior for bounces is once it fails, they never even attempt delivery to that address for future messages. They accept the messages our app sends, but just drop them. We had a DNS issue for a few days cause daily email alerts to fail for several big customers and this behavior bit us hard. Wasn't well documented. Come to find out we had a lot that were being blocked.
4) Website is horrible. "Recent Activity" section says last bounce was 8 days ago, but when you drill down to the "Email Activity", there were several as recent as a half hour ago. Clicking the buttons to clear all entries on the email lists don't do anything. Site is just slow and feels overly bloat. Almost feels like a template.