Depends on your experience level. If you have never setup postfix/exim/sendmail to do more than accept local mail then it will indeed be a giant headache. With a bit of work with dovecot and postfix you can have yourself a very nice mail-server. That said, there is a point at which the self-hosting pain point is not necessarily realistic, and if you have two accounts you need and they're $4/month elsewhere, why bother would be the discussion to have.