Yup, I agree. You should have a list from Day 1.
I started that with The Marketing Park | Where marketing is fun!. It has not helped much...yet...but I am sure it will.
I strongly believe that you should start capturing leads (via opt in) from day one of the launch of your blog. Provide an opt-in screen with a free gift (can be e-book, software, video, etc) for your visitors.
I just viewed a video from John Chow and he recommended this. He also emphasized the point that it was his biggest mistake not to capture leads from day one; his email list would have been well in 100,000 if he did.
And yeah, Aweber is the only way to go for a email list solution!!!