I've often been amazed that there isn't a more organized effort by search engines and others targeting small business advertisers to "educate" them about online marketing. There are independent efforts here and there, but all players would benefit from a concerted initiative. Until then, small businesses have to rely on more informed colleagues and the serendipity of discovering resources online. One such resource, put together by Matt McGee, is the relatively concise Local Search Marketing Guide.
The Guide targets small businesses and provides a helpful explanation of the options on search engines and a few other sites: MerchantCircle, Citysearch and InfoUSA. But there is a dizzying array of other options. For example, the Guide doesn't get into Internet Yellow Pages, social search-directory hybrids (InsiderPages, Judysbook, Yelp) online newspapers or the ever proliferating vertical segment, which often offers some of the most targeted ad inventory for particular industries. Some of these other options are covered in the Yellow Pages Association's Local Search Guide, which is more of an industry showcase than a small business primer however.
All of these other online segments have local advertising for small businesses. To be fair, McGee has put together a "local search" guide and covered the options on the major search engines. I would recommend including at least some of these other places to advertise. But of course you have to draw the line somewhere.