I tend to use a slicehost slice to do my own outbound mail (I use Google Apps for all inbound).
Assuming you have a slice first you'll need to set up your DNS entry pointing to the slice and a reverse DNS entry in the slicehost manager. See these resources for more information:
Finally you'll want to install the mail server software and configure it. I have a blog post that shows the standard config needed to configure the mail server and set up DKIM and DomainKeys to help your mail look legitimate: