I was just generally speaking... to cover those that were thinking about the third-party option.
Maybe see if there's a third-party that will work with you based on your own double opt-in list?
Not sure if it's an option, since you could just create a fake DB full of people you want to spam... but if it is okay, then there shouldn't be a problem with using your own scripts to collect the required info using your own domain, then maybe importing it elsewhere.
Another option, though it seems somewhat sneaky & could be a spammer trick (?), would be to dedicate an entirely different domain to your list & host that wherever the processing will be done.
So, if your company's name is Google, you could create a domain for handling mail and call it something like Gmail.com. Wasn't that an awesome display of creativity on my part? Not your name, but could be branded to it... and at least it's not your host's name.
Plus, having a separate domain would also give you the control to move it elsewhere, if you want to change mailing services, and not have to worry about the rest of your site.
Personally... I think if I had the urge to do any type of mailing list, I'd go the RSS route instead, like rlparker said.
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