I send out an email newsletter... most of my subscribers were sign-ups at shows, some have signed up via my website, and a few via Etsy (my transaction email mentions it).
I use Mailchimp to manage my campaigns ~ very easy, and free up to 2000(?) subscribers.
It is definitely beneficial. It's probably my best form of marketing. I don't do a lot of direct promotion -- more story telling, sharing new work. Many of my customers commission pieces for their homes or for gifts, sometimes very large pieces. The newsletter gives me a way to stay in contact with them until they are ready to make that purchase.
If you're on the fence about newsletters, read "1000 True Fans" by Kevin Kelly (a blog post -- google it & you'll find it). Great article about the importance of staying connected to the people your work resonates with.