Great plugin! One minor issue though. I just tried using it on our site but had to tweak it a bit for it to work. We run WordPress in it's own directory so the get_bloginfo('wpurl') calls had to be changed to 'siteurl' (ns_widget_mailchimp.class.php lines #29 & #40)
You can see what I'm talking about here.
Most people don't move their WordPress dirs around which is why it probably hasn't been reported before.
Anyhow, just thought I'd mention it so you could update the plugin vs us having to hack it. :-)