Figure out ways to generate your own lists when possible. They'll be small, but more importantly they're free, and generally more accurate. Then just pick up the phone. I do very little direct mail marketing. VERY little. The only direct mail I do is when I know I have a great prospect, but can't get them on the phone; I'll go ahead and send a personalized letter. My rate of return is still very low on that, but I've gotten a few.
As far as direct mail goes... cost is generally around $300 - 400 for a thousand piece mailer from what I understand. Again, I don't use it. I know there are a couple of guys in here that have some decently successful mail campaigns.
Best thing to do, is get a list and start pounding the phone. It's bar none the absolute most effective.
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