Even though some firms pay for postage on returns, that won't be of much help when you are staring at a couple of mail sacks full of crushed, mutilated returned mail. Some compiled lists are excellent, but some are horrible - and compiled lists are usually my least favorite way to purchase records, but sometimes a necessary evil. These lists are out there. Another common source of names is magazine subscribers. Call a magazine publisher and ask if their subscriber list is for sale, then ask for the name of their list broker.
Trade associations are usually an excellent source of mailing lists.
Better associations always contain the industry major players. Local associations like the Chamber of Commerce are good for local business names. Two excellent resources for investigating lists at the library are the SRDS Book of Lists and the Oxbridge Communications National Directory of Mailing Lists. We use the Oxbridge Directory in our own office and it's thorough - and exceptionally easy to use. List brokers are found in the phone book in every major city.