Postmark App (http://postmarkapp.com) has worked well for me in terms of sending large quantities of emails in the past. Easy integration, good team, active development.
I've just used PostMarkApp on a site, I love their interface, all works great but they only allow 'transactional' emails, which I guess is like 'click here to activate your account', whereas my site was sending out alerts to people (kind of like facebook does, but not as often), which they didn't seem to like too much.
Does sendgrid allow this? I've signed up to SocketLabs which seems to do it but haven't been able to get SMTP sending working correctly yet, haven't spent much time on it though.
For the record, the amount of hassles I've had with SMTP servers these services are very handy, especially for logs etc like postmark has
