Tom,
Newspaper advertising is expensive, yellow pages ads are as well, and I equate both to firing a shotgun up in the air and hoping one of the tiny pellets falls on the target--it just ain't practical--at least not in this part of the world.
Web Sites must be promoted with print media or no one will ever find you, even if you use dozens of keywords. Yes, you can find companies that will register you with the search engines, but that too can be expensive, and to date I have never booked a job directly from my web site and I just renewed the site's .com for the fourth time. This is not to say that people have not booked me after looking at the web site--they have. However, what led them to the site was printed information with the site address--not a search engine.
For me, and many other OMB entertainers, direct mail is the best approach when followed up with a phone call, and finally personal contact with the prospective clients. Direct mail targets your clients, thereby eliminating the shotgun approach. It has been the most effective form of advertising that many business owner use, and it's one of the least expensive. The trick is to develop a mailing list, which can easily be done using Google's search engine.
As for media, DVD's can be effective, but most of the folks doing the hiring are very busy and don't have time to watch a DVD. For me CDs seem to work best because they can listen to me whild driving home in their car, or while they are doing something else on the job. A neat thing to do with the CD is to print your phone number and web page information on the label when you make them. Just one less thing that person has to look for.
Brochures must be very professional looking, and while this is not a difficult task, they are somewhat expensive, averaging about $3 each, plus another $1 to mail them. If you have 100 perspective clients, this translates to about $400. Fortunately, this can be written off in your Schedule "C" when you do your taxes at the end of the year.
Playing for free has both positive and negative aspects. Yes, it can open lots of doors for you, which could potentially result in long-term employment. The trick here is not to do this regularly or you'll quickly develop the reputation among club owners as the guy who plays for free.
Good Luck,
Gary
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Travlin' Easy