boardgamegeek.com has started a low cost ad program that may be of interest to self publishers. The ads are text-based and are $10 for 10,000 impressions (users seeing your ad). I decided to give it a try, as it's certainly a reasonable price and a good audience.
For $10, your ad consists of a 35 character title with link (in my case, to my web site), and a 60 character subtitle. You can also opt for a more wordy type, but with a smaller font. That is the same price. 60 character title, 120 subtitle.
According to the stats for my ad at this point, 11,434 people have seen my ad, and 49 of them have gone from the ad to my site. I reupped to get 20,000 impressions, and will probably let that run out until I'm ready to release new games. So far, no sales are directly attributable to the ads, but I consider it worthwhile.
I have to take a longer view of things...
The people who visit my site will learn about the games, but probably not buy on the strength of my web site. But if they run into someone with the game at a gaming night somewhere, they might ask to play. If they hadn't seen the ad, they might not have the interest.
Advertising is like that. Heck, to get into stores I would have to plan to give away many copies of my games for free. Compared to that, advertising's a relative bargain.