I've only used my own lists that I've bought...I would consider purchasing one but that's a touchy subject. You don't want to get the rep of a spammer.
Just ask all your customers for their email...if you don't have emails but you do have a lot of time...star calling and asking.
Make it easy for them to sign up...constant contact has a quick form email sign up thing.
Send out a letter asking for their email address.
If you use full circle, make sure it's important that they ask every customer for their email.
Get on facebook and find the people in your area and ask them to sign up.
It's a good tool if used properly...mailer and door hangers can be good too...a little time consuming but even 2 or 3 jobs from door hangers could be good.
Ask for their email on the door hangers.
Always put your website on materials and way for people to sign up.