Two weeks ago I saw a tweet from Vertical Response, recommending using a pop-up window with a subscribe form to pop-up when someone leaves the site.
While I can see the attraction, as a last grab at getting someone's details, if you have to ask then, there is something wrong with your site!
To be honest, if a site tried that with me I would not go back to it.
Sites with pop-ups are traditionally not trustworthy and are to avoided.
Don't do it!
I also believe that my opinion is shared by Andrew Kordek and All Web Email amongst others.