In most cases, the distinguishing feature of a mailing list is the To address. Therefore, that's what you should use to create the rule. The important thing to remember is that you want to use the underlying e-mail address, not the display name, which can vary depending on how different people send to the list.
When you want to create a rule based on a particular e-mail address, put that address in your Personal Address Book or Contacts folder. (It's handy to have it there anyway, so you can send messages to the mailing list yourself.) Then, create the rule, and choose sent to people or distribution list as the first of your criteria, and pick the list's address from the PAB or Contacts.
If a particular mailing list can't be filtered from the To address, then look for a footer that's consistent on all messages from the list, and use text from that footer to build your rule.