When trying to choose between single opt-in or double opt-in (confirmation), it helps to consider all of the variables. Usually it's best to test both. If you are going to use double opt-in or "confirmation" then I agree with Tony, definitely use a custom confirmation page and give them a lot of reasons to chase your email and confirm.

But if all you are trying to do is build a list, then single opt-in will probably give you better results. It depends on your niche, your free giveaway, the quality of your squeeze page and confirmation page, etc. If you are driving paid traffic to your squeeze and your only getting a 50% confirm rate, it can get expensive real fast. I would try both and test.

Curt