Re. mailing lists, I'd heard a while ago from one of the most successful self-publishers in my genre that her mailing list has been a key part of her success, but not really knowing how to go about building one, I hadn't done much about it. With my last couple of releases, however, I have started to include details of how to sign up for the mailing list at the back of each ebook. I include a page with links to my other books, my website, and so on, and now it has a link to the mailing list sign up. I don't call it a mailing list, I simply say 'If you would like to be informed when my next book is released, please sign up here.' (I don't send out mailings except when I have a new release.)
My mailing list is still pretty tiny (two figures), but I've been surprised nevertheless at how many readers are signing up for it. The real bonus, I think, when the mailing list gets bigger, is the boost to sales it can provide when a book is released. You announce it directly to everyone who has read and enjoyed your books well enough to sign up for your list and, hopefully, a good number of them will buy the new book all at the same time, thus boosting your rankings and visibility. It's win-win!
I do also have a sign up form on my website and occasionally mention it on my FB page etc, but I think the end-of-book link is the key to getting sign-ups from readers who actually want to buy your next book.
ETA: I also strongly recommend signing up for a mailing service to make sure your mailings are (a) legal, (b) less likely to get marked as spam, and (c) don't exceed your email limits. I use MadMimi, but Mailchimp is popular too. They'll give you templates to make your mailings look more professional too.
Here's my most recent mailing.