It's not that all direct marketers are good, just that it's a more mature industry which has done more conversion testing than us web folk have had hot dinners. When a failed conversion costs real money (in printing and postage), every increase counts.

The idea that direct marketers have something to teach us also probably spreads because it's counter-intuitive: you mean all those icky ads I grew up with were clever?

I've heard it from my friends that are Art Directors that the people working on high-profile direct marketing are regarded as the best in the field and earn a lot of money because they are good at what they do.