In my experience, it was not worth it, and I've tried it several times in different verticals. But as email marketing still exists, I must have done something wrong 
What didn't work for me was generating subscribers with ad campaigns, attracing them with a lead magnet (free ebook) and then sending them 40 emails over the next 3-6 months (starting with content and then adding aff-links in later emails). What also didn't work was (with a different list) sending them more or less spammy promotions. The reason for the failures was probably the traffic quality.
But what also didn't work was generating them organically through my websites. I think you need >1,000 uniques per day to make this worthwile.
Anyway, if you want to do it, I'd try this approach here:
- sign up to 5-10 newsletter of competitors to see how they are doing it
- get Aweber (or something similar and gambling affiliate friendly)
- generate a lead magnet and create a landing page on your website, plus cross promote it
- write an autoresponder sequence* (you can send additional email blasts with current promotions etc) of 10+ emails, maybe with some recycled content from your website to save time
"Semper paratus!"
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