(2018 update: This is old information about how we do it, but I think it contains tips that might be useful to many artists.)
While it would be nice for your contact list to be stored in a single database, life doesn't usually work out that neatly.
Here's how my contacts are stored.
Apple Mail, Outlook, Entourage
I use Apple Mail for everyday contacts. These are people I actually know and stay in touch with. They include friends, family, individual clients, and close colleagues.
I store email addresses, mailing addresses, cell phone numbers, and notes (birthday, spouse's name, etc.) about the person.
I use 1ShoppingCart to send my weekly newsletter and deliver purchase and class autoresponders. You might use MailChimp or Emma for these purposes.
These are Web-based platforms that store your email list, provide you with a website form for email sign-ups, allow you to format “pretty” HTML messages, and send your missives to large numbers of recipients at once. Your local email client cannot perform these same tasks as efficiently or effectively.
See a comparison of email distribution programs.
Contact Management Database
I use FileMaker for my business and personal contact lists (storage system). I refer to these lists as “storing potential.” I'm just keeping them in a safe place because I don't want to rely on a 3rd party to have the only copy of my list.
From my online cart, I download names and contact info for Art Biz Coach purchasers every two weeks as a CSV file and then import the records into my FileMaker database. (This is different from the financial records that my bookkeeper imports into QuickBooks every week.)
You might do something similar in your artist contact software.
Whatever combination you choose for your art business, back up frequently and don't rely on a third party to keep data that's so critical to your livelihood.