Unless you have a very specific reason to host the newsletter yourself, I think you'd be much better off using a third party service. There are lots out there, and some are very cheaply priced.
It'll save you on development work
(no point in re-inventing the
wheel).
Their system will handle all
the unsubscribe link stuff that you
need to include in email newsletters
to comply with CAN SPAM laws or
whatever.
They handle the spam
reports that you will inevitably get
if you have a list of any non-trivial size.
They keep records of who signed up,
how they signed up, and their IP
address, and can present those on
receipt of a spam report to prove
that their service wasn't sending
out spam.
You can use double-opt in
(or confirmed opt in), for extra
evidence to prove that the people
you're sending emails to actually
signed up to receive them.
If you really do need to host it yourself I'd suggest you search the web for "email deliverability". Things that are known to help include properly set up SPF records, DomainKeys/DKIM, correct DNS settings (reverse DNS especially - best to just use an online service to check your DNS settings). You can test a lot of these things by sending an email to [email protected].
It's best to avoid using spammy words in your email - always a bit of guesswork this but you some words can trip filters.
But I'd guess that by far the most important thing is to be sending your email from a trusted server that maintains good relationships with ISPs (i.e. ensuring that ISPs don't think that the server is sending out spam). This is a big reason why it's much much easier to get a third party to handle everything for you.