After PC Magazine columnist John Dvorak wrote a screed about the evils of using AutoReply, the folks over at LifeHacker set up a poll asking readers whether they used the feature when they were away on vacation or otherwise unable to answer email. Surprisingly, over a third claimed that they don't set up an AutoReply because they worry about continuously replying to spammers and mailing-lists. For businessfolk, however, this is seldom an option. Customers and colleagues need to know why you won't be getting back to them quickly, and if they don't hear from you at all they're likely assume that your're either A) rude, or b) disinterested. Both outcomes would be bad.
Obviously, setting up an out-of-office AutoReply depends on your email interface. Those of us who manage our mail using Microsoft Outlook can add rules to specifically exclude sending replies to mailing lists. (You can see the how-to details on this Ask Metafilter page.) If you use Mozilla's Thunderbird, it is also possible to set up an AutoReply, but it's more complicated (Mozillazine).
Besides, for the AutoReply feature to work for either of those programs, (I believe) they must be left open while you're away. That's not always an option. Instead, you should take a look at the features of your email system to see what features are available to protect yourself from AutoReply embarrassment.
If you don't want to navigate the settings on your email system, a quick fix is to get a Gmail account and set up your email to forward there. Then, you can use the Vacation Responder in the Settings section to send back a message of your choice to incoming messages. Gmail only sends back Out-of-Office replies once every four days to incoming senders, no matter how many messages they send you. If you'd like to make sure that only people who you know get your away message, import your contacts into Gmail—it's easy to do— then click the box in the Vacation Responder that says (duh) "Only send a response to people in my Contacts." None of that protects you from other people's less-savvy (and annoying) AutoReplies, but at least you're not the jerk.