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?