It's possibly the most simple thing you can do to help yourself on the road to more shows. Just write at the top of a sheet of paper "Mailing List" and then announce from the stage that you have one, and anyone interested in signing up on it should talk to you after your set. You'd be surprised at how many people will want to sign up.
The most important thing, though, is to actually send mails to your mailing list. But don't send too many! Spamming people that could have turned out to be your biggest fans is definitely a no-no. Once a week is even too much sometimes.
The most respectable thing to do is to send a mailer once a month. You can even do it on the same day each month. Even if there's nothing going on in your career, you can send an email out saying hi to your fans and letting them know you still appreciate their support. You can tell them you're still plugging away at that demo, or that you're working on getting shows. You can even suggest they check out other bands in the meantime. This'll keep you fresh in their memory without making you look needy and obnoxious.
When you do start getting gigs, be sure to send out an announcement and invitation a week before the show. It gives people enough time to plan ahead, but it's close enough to the date that it'll still be fresh in their minds when the night rolls around. Sending out three or four reminders for one show is annoying and confusing to your fans.
And finally, when you send out those emails, make them personal! That doesn't mean you have to send separate emails to everyone on your list. But constructing the email as if you're talking casually to friends you know and respect goes a long way. Speaking in the third person (unless someone else is actually in charge of your list) can sound pretensious. It's always thrilling to go see an artist or a band you enjoyed, then receive an email from them a few days later.