First off - Love MailChimp and love the plugin. Great work!
Just one little quibble, I'm running a WP 3 network and it seems that only super admins can see the MailChimp Setup item under the settings menu. This means that individual users must provide the network admin with their API key and list details in order to get the plugin working.
Do you plan on changing this behaviour?
I'm not sure on the preferred approach but I notice that WordPress Stats places a config item under the 'plugin' menu when in network mode. This seems like a good solution because it means that if network admins have granted the right to add / view plugins users are also able to see the options.