Command strings go in the body of your message. Show the lists served by this Majordomo server. Non-subscribers may not be able to retrieve this. This may not work if you have subscribed using multiple addresses. Mail to this address goes to the list admin.
Some people have trouble unsubscribing themselves from mailing lists from time to time.
This is almost always related to the address through which you are subscribed not being the same as the one from which you are attempting to unsubscribe. This is where the which and who commands become useful. Please take a moment and check to make sure of which of your addresses is subscribed before complaining to the list owner.