We use Mimecast, which gives us off-site AV and spam filtering, archiving and mail services on their servers whenever our internal servers are offline.
I like it. We progressed from internal filtering to messagelabs to mimecast (because we wanted the webmail and archiving) and it's been well worth it in terms of reducing resources, admin time and bandwidth needed for front end mail filtering.
In some ways, providing you trust the filtering on machines that send and receive internal mail (and therein lies the rub) then with a major, reputable external mail filtering service your email store is probably more secure as these places tend to use more sophisticated malware and spam filtering than the average on site server.
I'm not sure you can totally abandon local mail store filtering though. You might not need something running all the time but you might need to think about how you're gonna get a clean up in aisle 3 if an internal workstation is compromised and sends malware to other internal users.