Forums and mailing lists each have their strengths and weaknesses. Take PM for example. Implemented as a mailing list, it would generate hundreds of e-mails per day. Most people don't have the time and/or patience to deal with that. Also, the things we generally discuss are of long-lasting value. I've yet to see a mailing list with a halfway decent searchable archive. It just doesn't work well. PM as a forum is managable despite the high volume, and the content is around for a very long time, with a search function that, while not perfect, works well enough to save some people some time in repeating oft-asked questions.

On the other hand, there are circumstances in which lists are much better than forums. With lists, you never have to "check in" on your question to see if anybody's answered yet. With a list, it's right there staring you in the face. And with smaller, less vocal groups, a forum is often a complete failure. Few posts == few people checking in regularly == fewer posts == fewer people checking in regularly... I've seen forums go dormant for a month at a time. Something that rarely happens with a list (the question "Is this thing still on?" inevitably gets asked on a list, and will spark things up a bit).

So the answer, to which is better, is: "It depends." :-)
Check out JavaJunkies for an example of forums that aren't really working well (despite being an almost-exact copy of these forums, which work very well).