Cindi,
I've never purchased a mailing list. Since my current business is primarily location-based, I tend to use two other methods to compile a mailing list (both of which are one-time labor intensive but worth their weight in gold once complete): 1.) I use my local telephone book and local newspaper to see who is advertising or otherwise making news and 2.) I use the readily available list of Chamber members on the Chamber website. I then send them a one-time self-designed postcard congratulating them on their news or inviting them to an upcoming seminar. Sometimes I simply make them aware of other free and paid resources in the area like the Chamber and the SBDC.
Once I used
www.Manta.com to create a mailing list of all the photographers in the area and I found it to be very accurate. (Manta is also free.)
Now I tend to concentrate more on marketing through offline methods where I can showcase my skill set while building relationships.
Since I'm very comfortable speaking in public I often offer to partner with those who are more powerful or in higher profile than I (like my local Chamber of Commerce and Small Business Development Center). Sometimes the organizations even make money off my presentations which I'm more than happy to allow them to do as they have the audience and I have the knowledge.
Leslie