With a mailing list you can take the time to build on a relationship by providing useful advice and information which in return builds trust with your potential mailing list customer or client for as long as they stay subscribed to your services. It's a well known fact people like to buy off people they know and trust and this is something you have lost if you don't have their details.
Having a list means you be seen as an expert in your field and build a sense of familiarity with them. OK, it may take 10 or more emails for your mailing list subscriber to stop and actually take a look at what you have to offer but as soon as they have taken that first step they begin to believe in you and your products or services. Your list is your database!
It gives you chance after chance to promote your business, products and services at no extra cost, so not only is it very effective but it saves you huge amounts in advertising costs which I think every marketer will appreciate. If you had a shop you wouldn't get this opportunity because the customer only comes to you when they need something. With your mailing list you are able to give them a little nudge in the right direction.