Quality posts lately.
Here's another way using built-in WP functions so you don't have to mess with the mysql stuff (tested in 2.7):
Code:
<?php
require_once('example.com/wp-load.php');
$email_list = $wpdb->get_results("SELECT DISTINCT comment_author_email FROM $wpdb->comments WHERE comment_author_email != ''");
foreach($email_list as $email) {
echo $email->comment_author_email . "\n";
}