I've seen posts from Google stating that they don't appreciate these list very much and that it is borderline keyword stuffing.
That being said, I would certainly recommend that anybody who creates a website for a company that does home delivery or home service include the names of towns and zip codes on the website. The "massive lists" approach is OK, but probably not going to get you everything you want. The best thing about it is how easy it is to implement.
A much more compelling case would be to collect testimonials happy customers in each town and put them on the website.
Title: Derbyshire Skips Delivered by Notingham Skips -- Testimonials
Joe Public from Cross, DE45 -- We were very happy with the skip that we got during a contruction project for...
John Doe from Glossap, DE55 -- I've used Notingham skip several times...