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The best by far has been Google Adwords for ROI.
Others used so far are:
Froogle - good
Overture - poor
Miva - average
Yahoo shopping (before Kelkoo) - awful!
Ads on forums and information sites - average
Inhouse affiliate program - poor
I'm about to try Shopzilla (bizrate) and also considering Kelkoo, Shopping.com and PriceGrabber.com.
What has worked well for you?
We tried shopzilla in the 3rd quarter of last year and whilst there is alot of traffic there, it is not well targeted - we couldn't get it to make money for us (clothing) so stopped - there rates per click are cheaper than most of the other price comparison sites, but we have found that Kelkoo converts better even with a higher CPC as it is better targeted
Especially FastClick has given us a very steady stream of income for over 5 years now, although the downpart is that they have very many flashy banners.
We have just started using Adsense, but it does actually work very well for us.