The email address associated with comments is kept in the $wpdb->comments table. Strictly speaking, that is the answer to the primary question.
I’d be cautious culling email from comments as posting a comment is not clearly giving permission for you to send email.
Is there any recommendation for doing some kind of
newsletter/subscription?
Use a third party service like MailChimp or Constant Contact (not affiliated with either). Many hosts do not allow mass email through their mail servers. (Check your terms of service.) And, while I am not a lawyer, it seems to me that complying with the legal requirements for sending mass email can be tricky– especially since I am not a lawyer. A decent service will deal with most of that for you.
Plugin recommendations are off-topic but you can search the plugin directory. There are a lot of plugins related to this subject, including plugins that interface with the services mentioned, and others not mentioned.