Are you sure? Are you testing deliverability and open rates? Are you following the various idiosyncrasies which major mail hosts display (yahoo rate limiting, etc)? Do you follow strong anti-spam measures, and check your system for security holes often?
Not saying you don't but there's more to a hosted mailing solution than just the mailing. I'm not sure most people are able to put in as much time in to providing tried/true templates which work across a variety of clients unless they're working for one of the larger mailing list companies.
That said, I still do most of my own mailings, but I knowingly make the tradeoff.
@gaiusparx - mailchimp, madmimi, icontact and bronto are some of the bigger ones friends of mine use, and they all have generally good things to say about each one. I know some of the folks at icontact and bronto and can attest that they're both security-minded, customer-focused and basically 'on the ball' folks overall.