I'm in favour. It's less intrusive that cold calling...
Answer is it depends...

If you have a targeted list, then it could be very effective. The big advantage is that once you have a high converting letter, it never has a hangover, never argues with the wife, never ill, never reluctant to pick up the phone... results can be very predictable and you can reach far more people with far less work. We've done a series of letters for one guy who sends out 1000 cold letters at a time and gets back roughly 40 highly qualified enquiries, many of whom become clients. He gets back some £50 for each pound he spends.
Note that it took a bit of testing to get there and testing is ongoing...

You really need to test to find out what works best for you... And if you're just starting out, then you want to try lots of different strategies to find what works best for you...

Some alternatives described in this thread

Whether you choose the postal service or email, if you'll follow it up with a phone call
your results will dramatically improve.

Ron

Very effective. What is more effective because I do this myself, is that I walk into the small business and give the owner a 30 second elevator pitch and hand them my business card. Which also has a free ebook offer on the back.
For businesses that are in another town or across the state I send them a post card and if they are interested they can call, email or visit my site for my portfolio.
Works way better than emails and phone calls.

Cold calling might not be so great for people who don't want to receive marketing calls. Cold emailing and mailing would be preferable since the receiver would not get as irritated compared to receiving live phone calls though I think it wouldn't work nearly as much because people would just ignore it unless of course if you have a really catchy introduction.

Your mileage may vary, but I, and everyone I know well, does not read that sort of mail nor email, and tends to end cold calls quick.

On me specifically you would have far better luck making any kind of sale in person, face to face. Otherwise I'll pay more and go with brand which has thousands of positive reviews over trying to save money by going with cheaper offer. That means that even if I read your mail, I'd still not give you money, but go to bigger brand to buy whatever you were trying to sell, and you'd be just helping them make a sale.

I would strongly advise avoiding cold approach and at least going with cheap ads to build list of leads who are actually interested, then contacting them while they still remember who you are, directly. It will cost you more money, but time saved will be more than worth it.