Just checked out my web host's legaleze on hosting an autoresponder.
Short answer - fuggetaboudit. If one complaint is recieved (from someone who forgot they subscribed) my webhost can suspend all my operations while they investigate. Then they can cancel my account with no appeal, PLUS fine me hundreds which they are able to deduct directly from my credit card ($100 fine, plus $175 per hour for their investigation).
AND - I'm only allowed to send 100 emails an hour, or 5,000 per day. So a mailing to a 10,000 member list would take over two days... unless I buy a mail server service from them - but would still have to jump through their hoops above.
The CAN-SPAM act has these guys really running scared.
So: leave it to the professionals. Interestingly, my autoresponder service is based overseas - where they aren't so affected by our laws. But they are competitive with the other major A/R providers - so I chose them for their price and features/benefits.
But that nice and free mail program I used my spare time for weeks to install? - deep six.