This is a little more tricky that you think, although once you have had a long read of mailchimps docs it is dead simple.
First of grab the Mail Chimp plugin by SwGuy from the zencart plugins repository.
By default this only takes your email address, do for our example we will make it take first name and last name of your subscriber.
First step
Install the MailChimp Plugin as per the instructions given.
Second Step
Make sure your MailChimp Account is able to receive the extra fields
Third Step
Open includes/templates/template_default/sideboxes/tpl_mailchimp_sidebox.php
find this piece of code
$content .= ENTRY_EMAIL_ADDRESS;
$content .= '
';
Replace it with this
$content .= ENTRY_EMAIL_ADDRESS;
$content .= '
';
$content .= ENTRY_FIRST_NAME;
$content .= '
';
$content .= ENTRY_LAST_NAME;
$content .= '
';
Save the file
Fourth Step
In /includes/modules/your-template/create_account.php
find this
mailchimp_add($email_address, $email_format);
and replace with
mailchimp_add($email_address, $firstname, $lastname, $email_format);
Fifth Step
In includes/functions/extra_functions/mailchimp_functions.php
Find this code (line 6-ish)
$merge_vars = array('');
Replace it with this
$merge_vars = Array(
'EMAIL' => $email_address,
'FNAME' => $firstname,
'LNAME' => $lastname
);
And thats all there is to it.