Host your own e-mail server. It's easier than it's made out to be. I've been doing it since I got my first symmetric DSL line in 1998. Today you can just use a very small VPS.
I've been looking at this myself and have a couple of questions:
What software would you recommend (Linux server)? I've been looking at postfix, which seems pretty easy to configure.
What about issues with sending from a private ip - are you ever blocked or marked as spam because of the vps ip (just sending normal emails)?
Spam filtering - what do you use for this, does it work?