I'll chime in with my experience.
It's just as Jason said. There is a default script timeout set by the host. They can also prevent this from being over-ridden with a timeout script that increases the timeout interval. The last time I had to send out a lrge number of emails, about 500, I was able to increase the default timeout interval, luckily the host did not place a restriction on this.
Most hosts these days probable are very restrictive, but you can check around.