Yep; the better podcasts pull in the advertiser into their unique style. Comedy podcasts are probably the best example of this. My Brother, My Brother, and Me will write a funny song about each advertiser, or involve them in "advice" bits somehow. They had a recurring segment with an online adult toy store that involved them reading lists of what people who had clicked through to their landing page had bought.

Then again, I've never bought anything that I've heard about on a podcast, so I have to admit I remain pretty skeptical of its paying off.