Any gotchas for using multiple SMTP servers for a single domain?

To expound on what Halfgaar has said:

You can operate multiple ourgoing SMTP servers and what you probably want to do is to set up an SPF record in your public DNS namespace that identifies all SMTP servers that are authorized to send email for your domain. Also set up appropriate A and PTR records for any SMTP server sending email for your domain. This is not a guarantess that you won't be blacklisted, but it will go along way to making sure you're not. Make sure that any MX records set up for the domain only point to the third party email provider as you don't want any inbound email going to the onsite SMTP server. Also make sure that any email sent from the onsite SMTP server goes out with reply to addresses that are valid so that replies are sent to legitimate recipients at the third party email provider.