Last year I designed a series of banners that ran on the Bingo Zone for a client. The banners were to be no more than 8k each, which proved to be a challenge. After creating the elements in Photoshop, I began to play with reducing the bit depth in both Photoshop and Debabilizer, creating a number of test images to determine at what point the images retained a reasonable look and feel while fulfilling the small GIF size required by the specifications. Like any image created for the Web, the more limited the palette with large areas of flat color, the smaller the GIFs. Beyond the size limitations, the design of the information is really the key.
Most users consider the ads to be intrusive, a necessary evil of online commerce.
Research the banner location for one. Also, taking a good look at the competition's successes and failures can provide invaluable information into creating a banner that will generate traffic. Invariably, a banner that appears to be adding value to the user experience, and is not too invasive at the same time, will be more successful. Interactive banners using Shockwave and Java are moving beyond the billboard to create an experience for the user within the banner itself. As less of a hard sell, these banners become the Easter eggs of sites, though not perhaps the most direct.