The businesses I advertised on radio/YP were actually quite suited to those mediums. The YP advertising I did was actually based around having an online presence. I agree you shouldn't throw all eggs into one basket... spend time on everything. It is important to test though to see what works best for you and concentrate a good amount of your time there.
If so, then there was likely a problem with the campaign plan on some level. Without knowing the niche, site, whether it's an online-only business or offline, and how the campaigns were handled, I really can't say too much else about it though other than the generalizations regarding their usual ineffectiveness for online-only businesses regardless of niche.
I was promoting an MP3 music download site that "promised" high conversions. I used Miva and forgot to set a daily limit. I also used general keywords. I got hit with $250 in 2 days! I stopped that and never use Miva unless my ads are extremely targeted to a market. (I didn't make $250 in sales, either!)
Yes I know... I wasn't asking for an analysis of my campaigns, I was merely pointing out what didn't work for me.