I'm a senior digital marketer who has worked both agency and client-side with anything from shoestring budgets to millions of dollars/month for close to a decade. I'd like to share some guidance on digital media and analytics that I have observed many people/companies making mistakes with. Not saying any of this to brag--just giving context so you can more effectively judge the quality of my advice.
1. Please dear god make it a priority to get your tracking setup properly. At the very least you should have your primary revenue generating action tracked as a conversion goal. Other things you should track are key actions that lead up to this, such as signing up for a free trial, and the various steps involved in that. This gets you into things like event tracking. Google Analytics is fine for this initially, although some newer analytics companies offer some interesting things such as Heap Analytics with their "track everything and worry about defining it later with a WYSIWYG editor" approach. You need to have a crystal clear understanding of your funnel to identify where any problems/bottlenecks are. Just as important are tracking cancellations properly (for SaaS at least) so you can do a proper cohort analysis across various dimensions.
2. If you are starting on AdWords, and you don't have conversion tracking, you are asking for trouble with a handful of exceptions. Read through the entire AdWords help site if you haven't managed an account before. It's a lot, but it is just as technical of a discipline as software development with its own share of intricacies, known issues, workarounds, etc. It is also changing incredibly quickly.
3. For paid search in general, if you have a limited budget start small with a handful of keywords you think are appropriate (including your brand name terms), and keep the number of ad groups/campaigns/ad variations rather small initially. Doing so makes it easier to tell when you have enough data at various levels to begin making optimizations. Additionally, you should keep your bids fairly high initially and focus on driving CTR. Building up a solid Quality Score is priority one for a new account as it determines long-term efficiency and scalability, and CTR is the #1 factor in determining that. Ultimately, this can get you into a positive feedback loop of higher CTR->higher Ad Rank->lower CPCs->lower CPA->higher ROI.
4. Display buying is not a simple thing to learn, and if you don't know how to interpret the data (particularly view-through conversions), you are going to be unhappy and lose money. Ease into it, and understand that it takes time to see an impact. If available inventory/business permits, focus your initial display efforts on particular DMAs or geo targets and see if there is any lift in your brand search query volume on AdWords. That can in some cases give you a sense of if things are working.
5. Understanding what cross-channel attribution modeling is all about is mandatory in this day and age, particularly if you engage with agencies who may not have a vested interest in valuing display view-through conversions at anything less than 100% (seen it happen too many times). If you don't know what attribution modeling is all about, you had best read up on it. In short, it means that just because you see a conversion in AdWords for example, doesn't mean that AdWords should get all the credit for it. Digging deeper into search funnel reports or the awesome Google Analytics attribution and path analysis tools, you'll frequently see other multiple touch points such as organic search, email, social, etc. Certain channels, like social and display, tend to play a larger role at the beginning of the buying process with generating awareness, and attribution models let you get a sense of that. If you have impression and view-through data from an ad server (DFA for example), you can get a much more complete picture of how your display efforts fit into that mix.
6. Don't listen to any gurus or agencies/consultants that claim to know all the secrets of AdWords, or display, or whatever. There is no secret sauce. There is however lots of buried knowledge in various help sites, industry sites, industry forums, etc. and it is a fairly technical discipline that is evolving at a breathtaking pace, so it is easy to get overwhelmed and buy into these promises. Do your due diligence, and properly vet through any such hiring decisions. Ask to see what exactly they might do for your account/business. If they are anything but 100% transparent in their approach, run away. The real value to look for is someone who can execute properly and consistently, and frankly, the knowledge should be given away for free since that alone won't lead to success.
7. Developers--I get that for many of you marketing is this evil misleading thing that you want nothing to do with. We have differences of opinion, and I could show you plenty of examples of marketing done right. Bottom line though is that you should try to avoid the "Field of Dreams" fallacy. If you build it, there is no guarantee they will come. Marketing is what gets you visitors and leads, and then sales and/or your product are what close the deal. Advertising (an aspect of marketing), when done right, is delivering the right message to the right audience at the right time and place. It does not need to be (and shouldn't be) misleading or make false promises.
8. Understand the nature of your advertising placements and traffic sources. Some networks get their traffic from places that makes me highly skeptical of the quality of their inventory. Likewise, some placements just aren't worth the value.
9. Don't waste your time with small targeted direct buys initially. It takes much more time to setup and execute than going through something like the GDN on AdWords or a DSP (once you know what you are doing). These scale MUCH better, will give you more data to optimize against, and in many cases are more cost-effective. If you have a particular placement that is doing gangbusters and want to guarantee more inventory, then and only then should you consider approaching the publisher for a direct deal at a slightly higher CPM than what you are clearing off the exchanges.
10. Many DSPs, ad networks, etc. have minimum monthly spend requirements of $5-10k. Understand that this is done to separate the serious buyers from the rest, and that typically you won't have even close to enough data to properly measure success with a display campaign for less than that (sometimes even with that amount). Display efforts can take time to see the results of, and even more time to reach optimal efficiency.
11. Understand your sales cycle with regards to number of touch points needed, duration, etc. Not much more to say here other than this plays a large role when setting up retargeting properly. Not considering retargeting? You're leaving conversions and dollars on the table. It is some of the lowest hanging fruit in the funnel, and while you might risk paying for unnecessary touch points, odds are you will more than offset this by keeping your brand top of mind over longer sales cycles. Mind your frequency caps though or you will assault your audience with a never-ending parade of your display banners.
12. Believe it or not, some agencies are actually quite good at media buying, and can bring to the table economies of scale even Fortune 50 advertisers can't reach on their own. Sometimes there is a misalignment of incentives, but this almost always comes down to poor scoping during the initial sales process. Understand that agencies are a service-based business, and make sure you are paying for sufficient staffing on your account, otherwise you get what you pay for and don't be surprised if you don't get any love and performance suffers. There are many benefits to agencies, but just as many benefits to building a team in-house, so weigh the pros and cons before making a decision, and make sure you go to RFP with several agencies before hiring one. Don't be afraid to pit them against each other with regards to the things they are telling you.
Anyway, its lunch time, but hopefully this is helpful for some folks here. I truly enjoy helping people with digital marketing, so feel free to reply here with any questions you might have.