Do you run a mailing list?
What script/software do you use?

I am looking for a script/software/low cost service, that would allow me to create multiple newsletters(lists) and have members sign up for multiple newsletters(lists).

The more features the better.

Any recommendations?

Depends on what kind of mailserver you are running. I'd use listar with sendmail or ezmlm if you run qmail. Not sure about exim. ;)

If you haven't taken a look, http://www.hotscripts.com/ has a bunch.

Mailman! You can check them out at list.org. It's an open-source application, and frankly I love it.

The best thing is that it has excellent web-based integration. (Although we have to run a shell script over ssh to create the list, and then add a few lines of its output to /etc/aliases -- this is hardly challenging, though.) Once that's done, it's all web-based. Members can sign up, remove themselves, or even change various options -- you can, for example, choose to receive mail in 'digest' mode, where it will hold onto all the messages sent to the list until the end of the day, then send them all as one combined e-mail. (This was quite nice when a list got out of control and was seeing 30-40 messages a day, which drove people mad until we told them to how to get a digest instead.)

It's also pretty intelligent. For example, one list is announcement-only; it will put people not on our 'authorized' list of senders into a queue and ask us what to do about them (and it sends them mail explaining what it's done), this is much more preferable than just bouncing their mail inexplicably. It also handles bounces very nicely; after a certain (customizable) number of bounces, it automatically disables bad addresses.

Anyway, way too much typing about a mailing list. Take a look at their site. It works really nicely for me.