Maybe this will ring a bell for someone.
On my iPod Touch, I have mail set up to use IMAP. From my RSS reader, NetNewsWire, I occasionally e-mail myself items that should get auto filtered into a particular folder. Intermittently, the Mail program simply uses IMAP to place the outgoing message into my sent folder and leaves it at that. Mail will completely skip sending the message through my SMTP server at mailhop.org. This scotches my automated filtering.
I switched my outbound SMTP server to one of Google’s, and now things seem to be a little more consistent. Weird.