The Demon Question: What about subdomains?
If I get mail from pielovers.demon.co.uk, and there's no SPF data for pielovers, should I go back one level and test SPF for demon.co.uk?
No. Each subdomain at Demon is a different customer, and each customer might have their own policy. It wouldn't make sense for Demon's policy to apply to all its customers by default; if Demon wants to do that, it can set up SPF records for each subdomain.
So the advice to SPF publishers is this: you should add an SPF record for each subdomain or hostname that has an A or MX record.
Sites with wildcard A or MX records should also have a wildcard SPF record, of the form: * IN TXT "v=spf1 -all"
(Thanks to Stuart Cheshire.)