UPDATE:

Well it appears Option 2 'EXECUTE AS' is no't reeally of any use by iteslf because it doesn't appear to work. In my testing, the only values that work with EXECUTE AS as CALLER and OWNER and I can't use OWNER because it aparently doesn't work with the implied or defualt 'dbo' database owner.

In our DB all objects are owned by the dbo or by the Login that is the Database Owner. When I set this to run as OWNER it fails. When I set to to CALLER it works but the login I am running the SP (the one in my DB that calls sp_Send_DBMail) has to have been given explict access to the msdb DB and to that STored Procedure. This means that every distinct login in my DB must also be granted access to the msdb database since you can't assign DB Roles (from other DB's) to msdb and there are no seevre level custom roles.

This is a reall pain in the arse. Is it just me or does it seem like Microsoft made the DB Mail functionality a nightmare to use?