First off get a component to do the heavy lifting.
I would recommend: aspnetmail
Then setting up bulkmailing is as easy as downloading some example code.
WebMailer: Sending 1000s of emails from a web page without timing out.
The same vendor also supplies mx record checker / bounce mail checkers etc.
This solution isn't free but the time you save not chasing bugs / inconsistencies in the standard mail component will make this worth your while.
Oh and if you want a bulk mailer which sits on the desktop that is also supplied:
http://www.aspnetemail.com/rapidmailer/