As someone who's run a mail server professionally, thought I'd expand on a comment. Brad's answer goes over the technical details of sending with Craft, I suppose this answer is more "philosophical"?
Back many years ago, I'd send newsletters "manually" (using PHPList, pommo, my own home brewed set-up... shudders, etc), these were only a few hundred to a thousand. I'd deal with the bounce backs, vacation notices, etc. manually. Fun stuff.
These days, it's gotten a bit more complex. As an aside, if you were doing this on any old server directly to the recipient, then you have to worry about reverse DNS (ptr) and SPF DNS records, probably DKIM if you want to round your bases.
Thankfully we have services that handle much of the BS of making sure your e-mail is actually delivered.
The big questions are really how many emails do you have to send, what are you actually sending, and how big is the attachment?
Stuff I'd worry about:
Attachments are huge spam flags. If you're sending the same one to every person, is there a way to put that on the server with a link to what you're sending? Or is the attachment also dynamically generated? If it were me, I'd probably set up the attachment on the server with a link to attachment but I can see where you might have to actually attach something.
Rate limiting. If you're using MailGun, I wouldn't worry too much about rate limiting since they will be doing the "reputation" management on their end so you won't flood the destination mail servers.
If these are B2B e-mail addresses, it's a bit easier since many run individual Exchange boxes so you won't be bumping up against ISP based e-mail accounts—Google Apps, Zoho, etc. probably being the exceptions.
Are you sending more of a newsletter or "transactional" style e-mail? The latter is everyone gets something slightly different like an order confirmation, upsell, etc.
If you're using Craft like an e-mail newsletter creator (I can see Matrix being awesome for this), you may be better off interfacing with MailChimp, Aweber, Campaign Monitor, etc. Use their APIs to feed the e-mail data into that software that way and then send it off. They are better optimized in a one-to-many situation like and can track deliverability for an e-mail blast versus Amazon SES, Mandrill, etc. are more optimized for one-to-one transactional e-mails. It's a subtle difference but it can mean the world of difference for deliverability.