Hello Simon:

Following statistics are provided by Direct Marketing Association 2010 Response Rate Trend Report.

Email

19.47 % open rate
6.64 % click-through rate (CTR)
1.73 % conversion rate

Direct Mail

3.42% for house list AND 1.38% for prospect list (Response Rate/CTR)

Mobile SMS

14.06% click-through rate (CTR)
8.22% conversion rate

Internet Display

0.76% click-through rate (CTR)
4.43% conversion rate

The above stats clearly indicate that SMS is arguably the best method for advertising.

Here is a link to the original report.
https://imis.the-dma.org//bookstore/index.cfm?

REFERENCE

CTR & Conversion rates for SMS & Other types of Media

Ref1: http://mashable.com/2010/08/19/mobile-advertising-trends/

Ref2: http://www.the-dma.org/cgi/dispannouncements?article=1451

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SMS vs EMAIL
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SMS & Email Marketing Comparison
http://www.mobilemarketingwatch.com/infographics-mobile-marketing-via-sms-compared-to-email-facebook-and-twitter-8574/

SMS vs Email (Open Rates & Average Cost)
http://www.tatango.com/blog/sms-marketing-compared-to-email-marketing/

SMS & Email CTR (see infograph by scrolling down)
CTR Rate Mobile Advertising
http://www.mobile-marketing-blog.net/2010/12/click-through-rate-ctr-statistics-in.html

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Preference for SMS
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Smartphone Users prefer SMS offers
http://econsultancy.com/us/blog/7626-smartphone-users-open-to-ads-infographic

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Comparison with Email & Social Media
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SMS, Facebook, Twitter, Email (Average Revenue per user)
http://excapite.wordpress.com/2011/02/17/twitter-vs-sms-vs-facebook-vs-email-in-2010/

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Size & Response of Mobile Audience by Region
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http://mobilestance.com/tag/sms/

Consult
US "Mobile Media Audience Proportionally Bigger than Europe?"
AND FULL COVERAGE: "Mobile Advertising: After the Growing Pains - eMarketer Report"

Multi-Country Mobile Advertising Study - 2011
https://advertising.microsoft.com/WWDocs/User/en-us/ForAdvertisers/2011-Microsoft-Multi-Country-MoAd-Insights-Study.pdf

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A Report on the effectiveness of SMS Mobile Marketing
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Conversational Advertising
www.dm2pro.com/downloads/20100609_3/download

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Relevant Links
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SMS Response Rates
http://www.mmaglobal.com/uploads/MMetricsGraphic.pdf

Stats about Mobile & SMS Advertising (with links)
SMS in Mobile Advertising
http://www.clickatell.com/press/facts_figures.php#3

Types & Growth of different types of mobile advertising
http://www.motomessage.com/sms-advertising-continues-growth-2011/

Extremely Useful Mobile Marketing Infographics
http://blog.hubspot.com/blog/tabid/6307/bid/6258/11-Mind-Blowing-Mobile-Marketing-Infographics.aspx

I hope that these links will help you find relevant information. Please feel free to clarify, if needed.

Thanks

Leader