Are there niches which are a waste of time for list building ?

There are probably a few exceptions, but just do some keyword research and find what people are searching for. Then see if there are advertisers in adwords for the keywords you find. And then see if those adwords advertisers are affiliates. If they are... then the niche is good.

It has been mentioned above but I would like to expand on the idea of product review sites not being suitable candidates for building a list.

I've based pretty much 90% of the many Niche websites I have created on the sale of physical goods. In most cases I'm promoting products sold on Amazon so I earn my commission only after people I send to Amazon make a purchase. That said, I want to get my visitors off to Amazon as quickly as possible and don't want to put anything in the way such as an opt in form.

There are however some exceptions to this and exceptions well worth considering if you want to grown a particular websites profits. Here is an example. Lets say you have a site that reviews/promotes exercise equipment, you are selling treadmills through amazon. People interested in buying exercise equipment are more than likely also interested in either getting fit or losing weight. Outside of commissions earned from selling a treadmill, there is also an opportunity to sell them a clickbank product on losing weight or getting fit.

A technique that I have used on these sorts of sites which tries to limit losing potential sales by trying to collect email addresses, is to do the following:
On your product review page, instead of displaying a product price or a click here to buy image, have a small email form that says something along the lines of "Fill in your email address below and we will find the best 3 prices for this product and email you the details.". After submitting it show a message that says "Redirecting you to the best deal" and then send them through to your affiliate link.

Cheers
Nick