A customer recently setup a new VPS from GoDaddy. As soon as we had setup the code and firewall, we immediately noticed that mail was not being delivered.
After some digging in the sendmail logs, we kept seeing that it was trying to relay mail to a “dedrelay.where.secureserver.net”. After adding two firewall rules to allow traffic from port 25 ONLY from that IP address into the server, sendmail was able to start delivering mail again (note: GoDaddy and OpenVZ does NOT allow kernel modules to be installed, so state tracking of connections is not possible).