I only tried it in some pretty thin niches traffic-wise, but my opt-in conversions have nearly TRIPLED from the same traffic.
You MUST try this!
First, use this plugin to encourage people to make a comment.
WordPress plugin: What Would Seth Godin Do | Richard K Miller
This is very important - you want to push people MORE to simply COMMENT than to subscribe. This plugin shows a special message to new blog visitors on their first few visits, and then refrains from bugging them. (Note, you can also make a special message for return visitors, but I haven't used that feature yet)
Then, use this plugin, too.
Comment Prompt/Reminder • Tim Nash UK SEO Blog
This plugin will bug return users who have visited a couple of times and remind them to leave a comment if they like your stuff. It was designed based on the above plugin, but obviously behaves differently. I find these make a nice 1-2 combo to really push your visitors to commit to participating.
Next, you want to use this plugin.
Guru Consulting Services Wordpress Aweber Plugin
NOTE: Looks like Guru is updating their site and they lost this download page - the same plugin is still available from the WP repository though - get it there (link below) if the link above is down.
That allows you to automatically subscribe your commenters to your aweber list. You can put a little checkbox message so they know they are subscribing or not, but this is the real power of this method. You're getting the reader to MENTALLY COMMIT to leaving a comment, so by the time the get to this point, they're already convinced to agree to this minor step.
Now, I recommend doing a double opt-in here, and offering to give them something good for confirming in your aweber setup. If you do that, you can even mention the freebie in your agreement checkbox I mentioned above.
You'll get more confirms that way, but it's not necessary. Get everything else working before you worry about this part.
Or if you want to go balls out, do a single opt-in list.
Now, here's where you really get the cool stuff happening.
Use this plugin:
Plugin: Thank Me Later | Making the Web
This will send your commenters an email thanking them for their comment a few days after they leave it. Plus, it will invite them back to the blog. If you're doing double opt-in above, this is a great opportunity to remind them to click the link in your confirm email. Or if you are only doing single opt, just remind them about the freebie they earned.
If you are moderating all your comments, you should use this plugin too:
Comment Approved Notifier Plugin v1.1 Yakup Gövler'in Not Defteri
This one is going to send them an email once you've approved their comment. For other stuff you can tell them, see above suggestions.
That's the system as I'm using it now, and it is working FANTASTIC on my niche blogs. I haven't used the below suggestions yet, but I want to include them because I plan to incorporate them as soon as I'm able. I think it will make the method even more powerful.
First, there's this plugin:
Subscribe to Comments 2.1 Tempus Fugit by Mark Jaquith
This will allow visitors to subscribe to email updates JUST to the comments on a particular post. This is an option whenever they fill out the form. Yet another way to hook them in and keep them coming back. Of course, I will remind them of this option everywhere I can.
This is especially useful on the blogs using the method I describe in "Another Automated Blog Tactic (Even Easier Than Before)" thread (linked in my sig) - because that method involves using a plugin that will rotate my old posts on a cyclical basis, this will be sending reminders long into the future and bringing old commenters back to my blog using a context they are familiar with.
EDIT: I removed another plugin I suggested here as apparently it's broken and won't be updated. I intend to look for another plugin that will alert a returning visitor as to what posts and comments are new for them. I don't think there's a single solution (since the plugin I referenced is broken) but there are a couple of possibilities that may work. If I find any, I'll post to this thread.
Anyway, I hope you wordpress bloggers find that useful. I know it's working great for me, and I'm literally grinning ear-to-ear with the list-building possibilities this presents for my little blog empire!
NOTE: the above method requires aweber, simply because that's what I use for my list building. If you don't have or don't want aweber, there are a number of other plugins that allow you to use WordPress itself as a list manager (though none I've found will do autoresponders - just broadcasts).
Check it out, and tell me what you think!