Giving away song downloads used to be the standard incentive to get people to sign up for your list. Now that fewer and fewer people want to download music, you have to come up with other incentives to get them to sign up. It's best to list on your website what the fan will get if they sign your list.
Try these 5 out:
1) Exclusive Secret Goodies
On your site explain that if they signup they will receive exclusive "secret goodies" unavailable anywhere else. You can send them unreleased tour vlogs, behind the scenes footage, demos and live recordings. Send your list something special once a month. Make it known when you send it out that they are receiving this because they are apart of your inside crew. Give them some inside access. You can even have at the bottom of every email blast an "Exclusives Just For You" section and add things in and out every blast.
Enter everyone on your mailing list into a monthly raffle and send the winner a merch package in the mail (or play a private 15 minute private Google Hangout concert for them).
3) Full Quality Song(s)
Some people still like owning their music. So I definitely recommend still including a song download (or 4). But why not give them the option to download either the 320kbps mp3 or a full quality wav? The audiophiles will appreciate that.
Does your band play any fun (appropriate) games on the road? Include the instructions to this game and encourage your friends to Snapchat/Instagram you them playing it.
5) Show Package
If you're a touring band, in your auto-confirmation, welcome email, include a coupon that they can print out and bring (or show from their phone) to your next show's merch table. Have special items reserved for the mailing list subscribers (like stickers, posters or USB sticks).