For me it has always been social media and blogging, both take a lot of time, I know, but this works very well for me and the niche I'm into. Youtube videos are another great way I'm building my list and selling more products.
I also do some PPC once in a while just for fun because I get traffic on demand from my social network accounts and I get search engine traffic from Google, Bing, Yahoo, Ask etc. on a daily bases. Search engines are my number 1 traffic source so even if I don't do anything for the whole month I'll still get traffic without paying for it.
That's the benefit of building a solid social media marketing campaign, popular blog and awesome youtube channel. Forums are another way I use for list building, but I haven't been spending much time on forums lately except for this one.
That's how I build my email list.