Email Service Tied in With Webhosting Package

Does anyone use the emails that come with web-hosting packages as opposed to one from a free email service? What are the pros and cons? Of course, with any email service it seems like they accept some email, but some places don't get thru.

I use the web hosts email system for staff/colleague email addresses, but for things like email marketing I use something like mailchimp - they tend to have good email database management, good deliverability, and usually to help ensure you aren't breaking the law!