Some great advice on this thread. Actually would have been useful to us a couple of years ago before we made all the traditional marketing mistakes!
Just some examples...
- Done 1000's of flyers (locally targetted and general)
Response rate was hardly traceable! But as Steve said earlier, good for cetrain local businesses, e.g. sandwich shops.
- Telesales cold call new people
Had experienced (and I mean experienced) telesales people try to sell upgrades on the phone to prospects, the amount of effort required was phenomenal to get just one sale. Definitely don't recommend that unless you have a strong brand that people know and trust.
- Telesales cold call existing customers
Exactly the same as above. You wouldn't think so but it was. Did so many trials on this on so many angles but couldn't get it to pay
Online is the way to go for most businesses, i.e. AdWords (if you have the money - or can make it pay for itself in terms of conversions). Of course directories (but I would say that), but only quality ones in a post panda world (see Steve's link in 'The Friends of MLF' section on the homepage of this blog). Social media and content publication is my preferred method but takes time and commitment to achieve serious results.
I know it sounds silly but simple things sometimes works well (especially for local businesses), e.g. if your business doesn't require a van then get some big window stickers printed and whack them on the back of your car's rear window (make sure you can still see tho

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Oh yeah and absolutely no luck on newspaper advertising (except if you can get in the nationals on an editorial angle - we've had a few of those and created massive interest / hits). If you pay for column advertising then you have to do it week-after-week to see any benefit and money would be better spent on AdWords.
YouTube is good but getting a viral video is very difficult - we've tried for a couple of years and the best performing one was just 16,000 views.
We've just created a Podcast publisher account on iTunes and read our unique blog articles to mp3 - got 4 uploaded now but it's early days to see how successful it is.
Anyway, just some of my rambling thoughts based on millions of trials.