I have a slight amount of knowledge about it, having been heavily involved in watching ad campaigns' performance from the advertiser's side from time to time.

Personally I believe that there's a ton of internet advertising that does effectively nothing except take money from companies with too much of it, and subsidize internet services so they can keep providing things to users for free (which, honestly, isn't the worst thing in the world.)

My specific observations which came with a decent amount of data behind them, are:

• Google search ads, and similar ads that are being shown to people right at the instant they are looking for the thing the ad is for, people click on and sometimes buy the thing.
• Ads that are randomly shown to people, even tracking-pixel ads for people who have already visited your web site or whatever, do basically nothing in terms of directly driving conversions. They may have some positive impact on brand recognition and building legitimacy of the brand, but personally I'm a little skeptical that it's worth it.
• Pretty much the only clicks you get from randomly-displayed ads -- especially from dopamine-machine networks like Facebook -- are people accidentally clicking on them who immediately navigate back away. Like, 99% for random web site ads, and 99.9% for dopamine-machine ads.
• Genuine social media presence is free and is effective.