This is not an issue with our plugin, but an issue with the Mailchimp API server which started occurring at around 16:20 UTC on May 15, 2015.
Please have a look at this blog post where we’re keeping everyone posted with our findings: Issue with Mailchimp API: “Zend Exception…”
To summarise: a temporary fix is to disable double opt-in with the “send welcome email” option also disabled.
Mailchimp is aware of the issue and their developers are hard at work looking for a resolution.
UPDATE (18:05 UTC, May 15): Mailchimp just managed to fix the issue. We’re good now, the error should automagically disappear.
Please revert back to your original settings if you applied the temporary fix.