AdSense and affiliate programs provide an easy-to-manage, quick-start advertising option for your blog. However, if you're prepared to do some extra work, you may find it more profitable to sell ads directly. This will involve finding your own advertising clients, in other words, sales. If you don't have the time or inclination to take on yet another role for your blog, then stick with AdSense and let Google do the selling for you—they seem to be quite good at it!
Don't even think about direct ad sales until your traffic hits a respectable level. There's no point me recommending any precise traffic volumes—it will vary from blog to blog, depending on your industry, and who your readers and potential advertisers are. However, suffice to say that your daily page views will probably need to be in the thousands, or even...