Instead of spending your advertising $$ on a campaign and having no guarantee of results, with a lead generation company you can usually arrange a deal where you only pay for the leads you receive and some will also replace leads with bad info.

This can save you a lot of time and $$ over creating your own ad campaigns and testing the waters in all the different methods out there since lead companies already know what works.
References :
I work in the lead industry.

Recommended companies:
http://www.affiliatefuel.com/ (custom ad campaigns)
http://www.HBBLeads.com (Biz opp / mlm leads / internet advertising)
http://www.zipmailmarketing.com (direct mail)