Mailing Lists provide a way to store the names and email addresses of Users who voluntarily submit their information to your site.  A common example if to offer something of value on your site, like a free video or mp3, then offer access only to Users willing to submit their name and email address to your list.  This can be a good way for you to see who is visiting your site, then contact them all at once via email with important messages about your offerings etc.