Here is what I have found. First off it depends on what kind of product you have. If you have b2b product I think Overture is great because you have MSN and alot of business people use that engine. Google has been great for us for a more technical crownd. We sell computer software so its been very good for us. So for what its worth you might try a few different engines to experiment. Also some of the lower cost engines like FindWhat, Kanoodle, Ah-ha and other might have a higher return on investment but deliver lower amounts of traffic.
The general consesus -- I think from reading posts here -- on webmaster world, and from my own experience is Google Ad Words and Overture work. Why your ads did not work/ Return dollars for your investment on AdWords, depends on many things, but as a rule: you spend more per click on both Google AD Words and Overture, but you get sales. On others you get traffic, but not much in sales.