If you have space, tell the recipient of your promotional material a benefit of visiting your website. If you have room on the back of your business card, put it there. Put a reason in the PS of your sales letters - anywhere you can fit it. You can't afford NOT to have your website address on your pre-printed promotional material. These are the most popular way to promote a website on the internet.
Many people use free banner programs, but that is a little like having a free website.
If you have a business, free banners are not a good deal. For a personal website, they're probably great. If you want to eventually charge for banner space on your website, don't use free exchanges. Look for websites with content related to your own, decent traffic, and low banner advertisement rates. Offer to exchange banners with them for a short period of time.