There are literally hundreds, if not thousands, of mailing list plugins available. Which one you should download and use depends solely upon your exact needs. Your best bet would be to figure out exactly what you think you will need and the search both wordpress and Google for "mailing list wp plugins" and scour through the descriptions to see which one would fit YOUR needs.
As for where you should put it, again, that depends on what you are using them for. If you are looking to create one general list, I would place one within the sidebar for sure, as well as either at the top of bottom of a few pages/posts as well. I would also consider using some sort of on-exit popup/modal strategy as well. If you're looking to build individual lists based on the posts regarding specific niches, well, the best place for those would be within the specific posts.
Since every site and every person has different needs, wants and expectations, you may want to test things out for a while, placing different forms in different locations to help assess and determine what gets YOU the results YOU are seeking.
Building a successful list properly, like anything, will require the right tools, a little work and lots of patience, especially when first starting out. It can be daunting and frustrating at times, but once you get the knack of it and figure out what works for you, your site and your needs, it will become easier and easier and will definitely be worth it all in the end.