My thinking is that the most difficult part is creating a website where people want to advertise specifically, then connecting with those people, with the easiest part being the actual negotiation stage.

For those looking to jump into direct sales and self-hosting, my suggestion is to create a second position of an ad unit you sell through a network and try to sell that without removing your existing ad network unit. Then work to contact the people who advertise on your site through the network and try to sign them up directly.

Chances are you can save them money while still bringing in more revenue as you no longer share revenue with the network.

Marco Arment - a one man development shop set up his own ad network for his podcast app....