It depends on what you want to do. For simple redirections, most domain name registrars offer this service and you can set a number of email redirections from your admin web interface on their website. I think this is all you need.
If you want to do more complex things, it is quite easy to setup Postfix  on your own server (a little VPS would suffice) to do the redirection, even using a database like MySQL to dynamically create / update the redirections.
In my .procmailrc file in my user directories, I set up forwarding rules. I've set up several servers this way. It's always a bit of head scratching, but it's fun when you get it working and it's not that bad to set up.
What's fun about .procmailrc files is that you can do anything with the email based on regex rules of the subject, to, from, etc. You can even run scripts. I can reboot my server by sending a properly formatted email to a certain email address, for example.