"Poetry Cover Letter Protocol" (below) is valuable new first-hand information. It's "new" because it supersedes information disseminated for 30 years. Take it serious.
It was once bandied about that editors cared about the work, not the cover letters -- so cover letters for poetry and fiction weren't needed unless your submission had been solicited, or you were sending it for a special issue, or if it was a simultaneous submission.
Listing recent publications in cover letters helps editors score and pigeonhole the poet before the editor sees the work. Such a list is also a clue to the poet's economic and social position, because if I'm systematically pursuing a career as a poet, working my way up through the lit journals year after year, my parents probably left me a trust fund or I married a lawyer. Thus the editor can see himself in the author, and perhaps sympathize -- because the editor is a poet as well.
Prizes prove that the poetry is the kind that currently wins prizes. (See Juvenal's Satires or St. Augustine's Confessions for a more holistic view of prizewinning poems and poets.)
Indicating that the poet is a college teacher, an editor, a curator, or librarian -- and omissions of anything else-- telegraphs the poet's educational level (master's level; probably MFA) and that the poet has leisure enough to read and to track literary trends. It also proves beyond a doubt that the poet is white. Thus the editor can see himself in the poet, and perhaps sympathize.
Enclosing an SASE implies that the poet wants the poems back, but I guess it doesn't hurt to spell it out.
Thanks, poetry editor, for your time. We apologize for impinging upon it by sending you poems. Please accept the coveted Artificial Difficulty Prize for March 2008.