You need to connect it to a wordpress.com account (free) but once activated, on your self hosted WP sites you can get a fantastic stats manager (searches, pages visited, links clicked etc) on a daily, weekly, yearly display - info that is invaluable for tracking and tweaking your site.
More impressively, it also includes a Subscription manager where subscribers are notified not from your site's server but from Wordpress.com everytime you make a new post.
Think about it, if your newsletter was posted online (blog posts) then subscribers are emailed from a respected source with a link to your blog post (newsletter). You could also automate your blog posts by setting future publish dates on your posts and in effect turn it in to an autoresponder series.
Only been playing with this for a week or so but really impressed and for someone with limited funds or just starting out it's a great way to build a list of sorts.