If you're using Exim 3, you'll need to add the following director to your config file (directors go between the second and third ``end'' lines). Also, don't forget that order matters - e.g. you can make Mailman lists take precedence over system aliases by putting this director in front of your aliasfile director, or vice-versa.
# Handle all addresses related to a list 'foo': the posting address.
# Automatically detects list existence by looking
# for lists/$local_part/config.pck under MAILMAN_HOME.
mailman_director:
driver = smartuser
require_files = MAILMAN_HOME/lists/$local_part/config.pck
suffix_optional
suffix = -bounces : -bounces+* : \
-confirm+* : -join : -leave : \
-owner : -request : -admin
transport = mailman_transport