My advice is to know your market. A mud for example, usually buy ads on topmudsite or mudconnect. An MMO might want to buy an ad at massively.

Indie game developer probly could get some good publicity by being upfront and simply posting at an related forum saying that they have a new game and want people to check it out. If you do this however, dont be pretentious and say you found a cool game and want people to try it. Just say that you are the developer and hope people give feedback on it. Try to find a genre specific forum for this. For example the wargamer forum is a nice place to do this if you have a grognard-ish game. Gamedev forum is also nice for this, but targeted audience is always better.