Contests and free stuff is the obvious answer. I'm developing an efficient electric heating website and one of our bonuses is for customers to have a trip to the manufacturer's factory (expenses paid) in Spain for a few days...
Aside from that, if you have solid content, offering a "bit more" via email will probably entice some users, or holding back on a few golden bits of information that can be received via email.
@Jacob... I'm signed up to endless mailing lists I really don't care about and I just send them straight to my junk/trash can, rather than clicking unsubscribe. Silly habit, just less effort (short term). :D
Also, afaik, a lot of email clients will 'junk' your mail if they detect newsletter content without an opt-out link, so make sure you include one.