After googling for about 3 hours, I finally found a way to send mail with BlogEngine.net
It seems there are lots of problems with sending mails from GoDaddy and also lots of complains on receiving - actually not receiving, more like sent to SPAM folder or even worse... bouncing.
Here is where I got the idea from: http://forums.asp.net/t/939893.aspx
Here is my working configuration...
Small addition for .net programmers: http://forums.asp.net/t/1076071.aspx