I'm planning to start a mailing list, too. I've done one before for my healing art, but for the etsy shop it'll be a different list.
For my first mailing list, when in a physical circumstance, I simply asked people if they'd like sign up for my newsletter about healing topics. If I'd offer a class or meet up with a group of like minded people, I'd ask if they wanted to receive more info on healing. For the online / virtual part, I put a newsletter sign up form on my blog.
For the etsy shop, I'll plan to add a newsletter sign up on my blog. I'll also try to figure out where I can possibly customize the check out experience (maybe in the outgoing message to customers) and ask them to indicate whether they'd like to receive my newsletter. Another place I'd consider getting people to join my newsletter is on the invoice? Or if you follow up after a purchase, it might be a good idea to ask it then.
When doing events it's always a good idea to create a sign up list for interested peeps.
@Carolyn - As for the address part of the newsletter, yeah, I had to actually put my home address down for a while. I didn't like doing that either, but nothing weird came out of it. Also, I think that some newsletter providers will accept PO Box, because I think mine did.
Great question. I hope more chime in for more ideas.
Best to you!