As with all things, it'll largely depend on your target audience. I've run them in the past and find I get a fair number of click throughs, but no noticeable additional sign ups, so I figured I was pretty much paying for nothing if people weren't going to stay.
As I say, though, it'll depend on the type of site you have.
I've found most web advertising to be pretty ineffective as far as gaining new members go. Organic Google traffic accounts for about 60% of my traffic (and hence most of my new members), with most of the remaining 40 being regular, returning members. So, it comes back to that old chestnut - have good content on your site and Google will send people your way!
Out of all of them, I've found Stumbleupon to be about the best for paid "advertising" and sometimes you can get some nice viral peaks, which tend to bring quite a few new members in. It's reasonably priced, too.