There are two main types of advertising...
The first type:
You advertise to make an impression and to provide important information about your business. You invest in a billboard in a good location. You buy a radio commercial that will play enough times to be heard by a large number of people. You sponsor a popular event year after year. You buy ads in a newspaper or magazine that run for half year, full year or more. If you do not have the budget to do consistent media advertising, you make flyers and you make sure to distribute them consistently.
You are doing "brand advertising"-building your brand and building awareness by keeping yourself in the public eye for a long period of time.
The second type:
You advertise to get an immediate response from a customer and close a sale. You might offer a discount. You may offer additional items and value if the customer "acts now." You measure the results of your ad - how many sales were made compared against the number of times the ad ran. Or, you may be running an ad on Facebook and your goal to to increase the number of fans for your Facebook business page. You measure the clicks on the ad and the increase in "likes" to your business page.
This type of advertsing is "direct advertising," or "direct marketing." The sole purpose of the ad is to get the customer to act now and complete a sale or become a "fan" or subscribe to your newsletter.
Both kinds of advertising are important. Think of brand advertising as a savings account, building great value for the future, and direct advertising as making money now, but not building "brand."
It is important to understand what type of advertising you are doing, because you will understand where to place the advertising, and how to gauge it's performance.
You will want to carry your brand advertising in media that provides the right audience and the right personality for you. For instance, do you have a fitness studio? You could advertise in fitness-related publications, and even radio and newspaper.
You are not going to be able to "measure" the effect of your brand advertising right away. Perhaps after a lengthy run, you could conduct a poll to see if the public is aware of you and your main themes. Since "brand advertising" can be a long-term investment, it is a good idea to also invest well in design and message, for greater impact and success.
Can you conduct "brand advertising" on the web? Good question. When promoting digital advertising, people talk about "clicks" and "measurement" (the language of direct advertising, not branding). Often, the ad itself is a small banner than can be easily overlooked. It would be best to buy a large block, bigger than the typical banner, and capable of displaying at least your logo and a brief, strong billboard-style message. The ad could link to a specified page on your website that is well-configured to complete the brand message (of course, this could bring some measurement opportunities - you could see how many visitors clicked the ad and viewed your brand page).
Brand advertising is valuable. A well-branded, well-known service is going to command more money than a little-known service of the same type.
If you are doing direct advertising, you are looking for immediate results. It's best to consider placing these ads where people are looking for deals and looking to buy. Examples would include the publication that is all restaurant coupons, or the publication that is all classified ads.
You can place direct advertising in a publication that has a sharp focus on your target market (auto enthusiasts, health enthusiasts...). When placing in a targeted publication, remember that the readers aren't necesarily looking to buy, or looking for deals while reading. Expert attention-getting design and messaging plus a proper ad size is critical!
Of course, websites and social media may provide the ideal vehicle for your direct marketing, because so many tools are there - from tracking to checkout and payment.