There are two ways to go with selling advertising on the net.
1) Sell ads through Banner Networks

This is the easier of the two methods. Banner Networks are advertising companies which act as the middle-man between your website and the advertisers. They sell ad space to interested advertisers and pay you to put the ads on your site. As a result, they get a % of the money. However, it does make your life easier -- you don't have to worry about all the details -- just cash your check.

Their disadvantage is that pay rates tend to be relatively low. You can expect around $1-$2 CPM for untargeted ads. Some banner networks will try to sell ads specifically for your site. In this case, rates are much better since the advertiser is trying to target your site specifically. ($10-$20 CPM)

Popular Banner Networks:

Burst Media - CPM and CPC
Flycast - CPM and CPC
Advertising.com - Mostly CPC
ValueClick - CPC
ClickAgents - CPC

2) Sell Ads yourself

This requires a bit more effort on your part, but depending on your site, may make more sense.

In general, selling ads directly to the advertiser will generate more money for you. Since there is no middle-man to pay, you get all the money from the advertiser. Also, since the advertiser is interested in your site directly, they are usually willing to pay more
Selling ads yourself tends to be easier for specialty sites with niche markets. These sites tend to get the attention of advertisers early on. As a result, it may not require much effort for you to find them -- they'll find you.

If you do sell your own ads, however, you'll need to find some good banner rotating/tracking software to keep statistics for yourself and the advertiser.