In a short period of time (two months), I've earned over a dozen subscribers to my SEO Montreal and Site Flip email newsletters. They go out twice a month (though I may soon switch to feedblitz' daily subs for convenience).
I've found that giving out good, in-depth advice in forums, then politely ending with a suggestion to check your blog/newsletter for more tips gets people joining. It's a lot of work though, because I make an effort to really help. I don't say "Try working on your keyword density. Also, consider subscribing to my blog/newsletter for more advice." (And if I have, it hasn't produced results.)
In particular, I know people are paying attention because they reply to these posts by naming me and thanking me for the help.
Naturally, building a subscriber list is important for marketing. It helps build trust with readers. It allows content to be passed on and republished, meaning you can get links from newsletter content that gets republished, and then of course there are referrals. Important SEO tactic, huh?