I think it would be a good idea to integrate some form of mailing list manager into the user control panel, specifically into the “subscriptions” area.  It would show all lists that the user was subscribed to (if any) and have a link or checkbox next to them so that they could unsubscribe.

While I realize that there is an unsubscribe link in the emails that are generated, sometimes users want to change their settings between mailings..  As of now, there’s no way for users to see what lists they’re on once they’ve subscribed.  For those of us running several (or more) mailing lists, this can be an issue for our users.