anebg,
I do the exact same thing, except on a slightly larger scale. Basically, the concept of having our own server handle DNS for both the public (we host over 100 domains) and for our intranet studio network. Having the DNS local is extremely handy for making quick changes for things like subdomains. Since we have so many domains, we obviously dont want to keep going back to godaddy's admin to make changes if we can do it locally.
For your case, since it's only one domain, that's totally your call if you want to put in the extra effort, but since you're doing local DNS too which is super handy for a local network that uses AFP/ssh/automated cross network backup, etc...
What you would do is typically setup godaddy to point to nameservers that you host and then set up your servers to handle the requests. The two requirements you'll need are open port 53 (default DNS port) and typically 2 nameservers are recommended (not sure if they're required these days), so you'll need two public static IPs, although technically these days, really good cable companies do provide IPs that hardly ever change. For my personal web server at home, my cable company allows open port 80 and the IP last longer than a year... the only time i've seen it change was when i switched routers and changed my wan MAC address.
Otherwise, I dont use server admin for my DNS, since i do it by hand in conf files, but if you'd like, id be more than happy to shoot you over a sample conf.