I can't give you a conversion rate, it depends on many variables, but I've seen strong results with building your own list. For example start with your previous customers or those that have already signed up with your site. Previous customers are some of the best potential leads your business has. Also provide a way for others who have not purchased to subscribe to your mailing. Those who have visited your site and sign up are demonstrating a strong interest and qualifying themselves. Those emails you purchase from a list I would avoid. Really you are just sending spam as they haven't asked for it.
If you are looking to expand your reach beyond previous customers and those that sign up at your site, the best results I've seen are when you advertise within the newsletter of someone else. This requires you to carefully consider the audience that they are sending to. Make some sort of incentive/offer (consider free) to get the best response.
Email marketing can be very effective, spamming to a "list" isn't.