List building requires : traffic, an incentive and a lead capture form.

The lead capture form part is simple. Hopefully you have this all dealt with. I recommended 3rd party services instead of self-hosted solution for about 101 reasons. Aweber, GetResponse, MadMimi, iContact etc. Create an account, setup your web form (or hire a techie from oDesk or some IM forum to do it for you) and you're set.

The incentive or benefit for why they would leave you their info can be anything from a case studies document, to an industry specific market research white paper, to a general report or ebook, to an exclusive interview with a prominent name in your industry, to a recorded webinar, to a series of checklists or documents specific to your products, to a coupon code or discount, etc. The more relevant and irresistable your offer, the higher your lead capture conversions will be.

Most will use just an ebook. But feel free to get more creative and more generous. Really stack what they get by just filling out a form.

(Then make sure you keep "selling" them to check their inbox, click the double-opt verification and to get comfortable/trained to read your future emails).

The final part is traffic...

The more targetted your traffic, the higher your conversions. Goes without saying.

So at this point, you're at the marketing and promotions step. Which is a massive topic. There are great suggestions already here but dig up everything you can on traffic generation and find/test a handful of tactics. Do not try to do them all though.