Found this on the ReturnOnSubscriber blog:

After signing up for an email list, you need to send the new subscriber some type of thank you message while you are fresh in their minds.

This email from Wal-Mart does a great job of stating value, frequency, and messaging options in their welcome email. The "how to add us to your address book" option adds a lot of value, as does the ability to jump back to the site and shop. They also add a opt-out option in case the user signed up in error, as well as their privacy policy.

Dear Wal-Mart Shopper,

Thank you for subscribing to our email newsletters! You’ll receive the
latest news from Walmart.com, including Rollback savings and more,
delivered weekly to _______@yahoo.com.

To ensure delivery to your inbox instead of your bulk or junk mail
folder, please add walmartnewsletters@walmart.com to your address book.
Here’s how:
http://www.walmart.com/catalog/catalog.gsp?cat=549532

Sign up for our other newsletters, including Wal-Mart Entertainment and
Advertised Values, and manage your subscriptions here:
http://www.walmart.com/email_collect/subscribe.gsp

Start shopping today!
http://www.walmart.com

Sincerely,
Walmart.com

If you feel we have sent this confirmation email in error, or if you
would like to be removed from future Walmart.com emails, you may
unsubscribe here:
http://www.walmart.com/cservice/ya_newsletters.gsp?email=________@yahoo.com

We value your trust and will never share your information. View our
Privacy Policy:
http://www.walmart.com/catalog/catalog.gsp?cat=538369