Corrected entry: Dr. Weir says that the Atlantis gate is the only one that can dial back to the Milky Way from Pegasus galaxy. SG-1 has already confirmed that any stargate can travel intergalactically if it has the power. That's what the 8th chevron does. You need a Naquadah generator or Zero Point Module to provide the extra power though.
Sol Parker
3rd Aug 2004
Correction: This is answered in episode #108, all the Pegasus Stargates are missing a crystal except for the Atlantis gate, this crystal allows it to dial to other galaxies.
Sol Parker