They do work, and are cheap to buy, but you will see far better results with a higher profile ad. Placing your message at or near the top of the publication gives it a much better chance of being seen. Also, many publishers will allow you to include more copy in the higher paying ads. In your own ezine you can take liberties and write full articles that discuss the merits of your affiliate program. This can be a very effective method, but you need to remember to write it with the readers interests in mind.
Nothing turns people off faster than blatant self serving commercials.