We just sell merchandise -- t-shirts, posters, etc. We were thinking about doing advertising stuff, but since we're a video game site, we decided to just give our users what they wanted (swag) rather than what they go out of their way to block (ads). It's been working exceptionally well, though that's largely attributable to the talent of our designers.
off the main topic but I'd love to stock some gamer hoodies on our retail site, ping me if you'd like to partner or have any leads (hasan {at} hoodiepeople.com)