A great book is "Scientific Advertising" by CLAUDE C. HOPKINS.
It's already Public Domain.
Read it online at: http://www.abenetis.com/encyclopedia-article-59.html (You could download it as well, if you are a member)
Well, the book is old, but the content is still very, very useful.
Great to read.
A few tips: Always be clear about the value you are offering (how do you solve the advertisee's problem). Be succinct. Showing is more helpful than telling (if you are doing display). Include a strong call to action (tell people what to do next).
Also, as with anything, your best ad direction depends on what you are selling. Important to know your audience.