It can be done, I just can't see doing it yourself being worth it until you have a large number of people to whom you are frequently mailing.
Someone else said "it's really not worth it to go third-party unless you're sending heavy HTML newsletter type e-mails to hundreds of thousands or millions of people. "
My thought is the exact opposite. When you're small, it's not worth committing the resources to doing all you need to do yourself. Third party services cost $10 or $20 a month and save you hours of work, and increase delivery rates greatly. (At least they did for us and the few other startups I've talked to about this.) When you're large, the cost of third party services exceeds the cost of doing it yourself, and you can get better quality in house.
If you are doing it yourself, I hear good things about Return Path, but have no first hand experience.