How can I ease the burden on my mail server?
Besides looking into package mailing list software, you can bypass the mail() function and talk directly to your SMTP server via a socket connection. Such an example is shown in the PHP Manual for the fsockopen() function (http://www.php.net/manual/en/function.fsockopen.php), as well as in other developer resource sites.
Where do bounced messages go?
Bounces go to whatever address you specify in your From: or Reply-to: mail headers.