FusionAds, Daring Fireball RSS sponsorhip, RailsCasts, Dribbble, and a variety of other spots. In terms of ROI, we weren't really measuring things in that great of detail. We just used Google Analytics to understand the quality of the traffic.
The rates and returns were all over the board. The only consistent factor was that once Sifter became more well known, the advertising was significantly less effective at generating advertising. So, it's great for finding new traffic and getting the word out, but once that's done, we'd have throw a lot of money at it to see significant results.