We've all done this: picked up a book, enjoyed a series, read everything we could find in it, and... completely forgotten about it when we couldn't find the next book. Sometimes the publisher killed the series in the middle, sometimes it just didn't get stocked in your bookstores, sometimes it didn't come out for three years and by then you'd forgotten to even look for it.
How do you prevent this from happening to your readers? Amazon has a notification that an author has another book out, but it's intermittent at best. What if you're relying on B&N to tell its customers, and they go out of business? You can reach out on twitter, but will it get lost in all the other tweets, or if you repeat it, will you get blocked out as "spam"? You can put it on facebook, and on your blog, and each of those will reach the audience actively following you, but what about the casual reader who isn't fan enough to follow?
Enter the mailing list. If you have the names and email addresses of your readers, then you can reach them. No publishers, no bookstores, no distributor can take away your ability to reach out and directly tell these readers that you have something they're interested in buying.
A mailing list is something to start building early; you can't plant tomato seeds on Monday and expect to reap a caprese salad on Friday. The best way to do it is through one of the mailing list companies like Mailchimp, Mad Mimi, Aweber, or Constant Contact, as sending a single email to too many people from a personal email (the "too many" varies by mail provider, but I've seen it happen to people sending out Christmas letters to a large family) triggers their spammer alerts.
Warning: the CAN SPAM act requires a physical mailing address for the sender, which gets put on the bottom of every email. This is a great reason to rent a PO Box / mailing box at the UPS store / mailing box at a local business for your publishing imprint. Protect your privacy, protect yourself, and don't use your home address. Also, get a different email address for this, so the inevitable spam and reader replies will be separated from your emails to vendors, distributors, and your mom.
Now, how often do you send out emails? There are plenty of readers who will, by reflex, say '"Oh, I just want to know when the next release is out", and plenty of shy, retiring writers who say "I hate spam, so I don't want to bother my readers". However, if you don't remind people who you are, after six months, they won't recognize the name in their inbox and delete it unopened. Even after three months, you are but one of the many books they've read, and may not trigger name recognition. On the other hand, once a day is far, far too much. Most authors default to monthly, and that seems to be a fine compromise.
What should be in the email? Well, you have everything from David Drake's wonderfully chatty bimonthly newsletters,, to H.M. Ward's announcements of upcoming releases about every 3 weeks. See if any authors you like have newsletters, and sign up. Try some of the top people in your genre, whether you like their work personally or not - it'll give you a feel for someone who's doing something right on the marketing.
Generally, a newsletter should have:
1. Where you are at on current releases and future books.
2. Con appearances
3. Something interesting / fun / cool. This is a great place to stick deleted scenes, trivia, snippets of upcoming books, cover reveals of upcoming books... something that makes the newsletter not feel like the authorial equivalent of the grocery store circulars that keep getting stuck in the mailbox.
Buying/selling email addresses: DON'T. Not only is it immoral, unethical, illegal, but bought lists are unlikely to contain your target market - people who want to know about your book. Similarly, don't betray the trust of people who like you enough to want to read more of your stuff. Word of mouth is the slowest, most unpredictable, and by far the most powerful marketing tool out there, and you want it to be good.
Do you have to have a mailing list? Nope. But it's a great tool. It helps drive interested readers to your books who otherwise would take days to months to learn about a new release - or would forget about you entirely. It'll also send them over a roughly 18-hour period (the bulk of emails are opened in the first 18 hours) which will give you a nice sales rank boost, leading to better visibility.
One more note to avoid spam filters - don't send a link that looks like it's for one web address, and actually goes to another. For example, do not have your hyperlink text say "Amazon.com" while your link is "http://www.amazon.com/Trickster-Noir-Pixie-Cedar-Sanderson-ebook/dp/B00K031TV6". To an auto-spam-filter, that's indistinguishable from "bankofamerica.com" being redirected to phishing.youraccount.badpeople.com" Instead have your hypertext say "Amazon" or "Amazon - UK" or something similar that doesn't look like a web address.