Yep the classifieds ad section is now one of the only remaining ways left to build a list. Keyword-rich titles and auction copy are the keys here! I think mailing list you can also place your opt-in form directly in the classified ad, but what I do is just put a killer headline there and immediately below it link to my opt-in page. Another way would be to send out a free cd with essentially a $0.99 auction, with only shipping costs incurred by the customer.
This is a great way to generate leads like some gurus are doing. You can also put these customers into a forced continuity membership (trial membership to a website for a month, but automatic payment every month after that), but it does border mailing list on slightly unethical grounds according to some. The important thing is to make it clear on your offer that there's a free trial membership, but after the first month, they will be automatically charged if they do not cancel.
The most affordable and easy way you can build your list is simply by writing articles, whether you ever thought of it or not. Basically you write your articles on your topic of expertise or niche where your back link is pointed to your website mailing list that is loaded with related affiliate products. You then submit these articles to popular article directories where publishers and readers are searching for the information you provide.