with the email spam laws becoming stronger the only legitimate way is to build your own list from your own site, optional programs to make the emails look nice are constantcontact.com among others, even if you do double optin you will still get a few people that sign up and forget that they signed up and report you as spammer, so it can be done but definitely don't buy an ebay list as every one of them will probably report you, have a newsletter from your own site with double optin is the safest way, still not 100% safe but better then buying some list from someone else, if the list was any good they would not be selling it, quite a few people hate spam these days myself included and have no problem spending a few bucks to pull some spammer into a court room, collect from your own site double optin and you should be okay, will take a while to get a decent sized list from your own site but when you do get it the quality will be greater than any junk bought list, if your site is about video games and you collect emails from it you know those are hot leads involving video games, if you buy a list who knows where they were collected from therefore those would be cold or dead leads which will not convert as you have no idea what they are interested in, plus no guarantee that the seller hasn't sold the same list 200 times which means they will definitely report as spam.