If you publish books, you should have a mailing list. Period.
Really. It's that simple.
David Gaughran has a great post today on all the reasons why, but the main thing is this: direct connection between you and your readers.
As David says, the idea is not to clutter up your readers inboxes with newsletters, but mainly to let them know when your next book comes out. You don't have to create new content, run lots of contests (but you can, if you like), or worry about providing "value" to your newsletter subscribers. Most often, they are signing up because they enjoy your work. The value of the newsletter (to both you and them) is letting them know when that next new release comes out.
In that spirit, feel free to sign up for my author newsletter, if you haven't already! I promise to let you know when that steampunk book finally gets written and when I launch that crazy serial idea that I have (and I won't clutter up your inbox too often).