A mainstay on the world wide web for several years running is the banner ad. Users encounter them everywhere in their web use, on commercial websites, on portals, and on search engines. And there are no statistics that I am aware of that indicate how many of those who click on the banner actually go on to learn more about, purchase, or subscribe to whatever is being shown in the banner ad. Even if an established company wants to enter the web advertising fray, they should find the most effective way. Direct email has also largely been a failure, because it's just like junk snail mail, and almost nobody wants to receive that in their mailbox.
Web users click on links all the time.
Blue and underlined or not, they are just about the most commonly used navigational element, and fit nicely into hypertext pages. I have never seen a plain vanilla link advertisement, stuck nicely into a body paragraph. Or in a header. Or anywhere for that matter. It's probably hard to convince company executives that sticking a link into a page is good advertising.