Next Step: Confirm your email address
Thinking along the lines of how "Follow me on Twitter" tests better than "If you liked this blog entry, please follow me on Twitter." Just give people a direct order. "Next step" might make it clearer that they're not yet finished with the process?
I think rewarding the user for singing up would be an interesting incentive. "Click the link to receive your first email".
Having said that, unlike registration confirmations, where I would like to get back out of my inbox to your site. For mailing lists, I don't need to go back to your site, really. I'd much rather stay in my inbox if that's ok. I'd quite like to see an A/B test between the usual method and a request for people reply to the email, rather than click a link. "Reply to this email to start receiving updates": simple order, direct resulting action. It also makes it sound like a similar action will be required to stop receiving updates.
Wonder how many people are using web-based mail clients and whether that would impact a preference to reply or click?