One thing I haven't seen pointed out here is that a mass SET to NOMAIL
will inevitably be followed by a mass SET to MAIL.  This will play havoc
with any lists that the person was intentionally set to NOMAIL in the
first place.

Wouldn't it better for the autoreply to be smart enough to recognize
that the incoming mail was from a mailing list, and not reply?  Won't
all the solutions offered so far only impact local lists?  What about
subscriptions to lists not at the site?  What about subscriptions to
non-LISTSERV lists?

Aren't many 'vacation' type programs smart enough to handle this?