Flyers can work - but it depends on the market - I work for a
telemarketing company and sometimes we turn away jobs as we cannot see how they would work from a cost point of view - if the profit on each sale is £20, you have to be making more than one sale per hour to break even. Most of our projects are B2B as consumers just don't spend enough to make all the effort of calling them!
Google ads is a good one as well - if you advertise for specialist items, then there are limited options for the buyer, and few sites to click on. For something very generic like games, they have a lot of online retailers, online FAQs, reviews, etc, all competing for clicks, and there are so many it is easy to jump from one to the other.
For retail games, you need to have something different. Consider something like 'no shipping charges' and make the most of it - on adverts, on the front page of the site, etc. SEO is going to be hard in this market, but you could consider banner ads in some related sites, such as a smaller games review site (bigger ones are likely to be too expensive) or in related sites that tend to target the same audience, such as car modification site (males 18-25 being the main target for the Xbox and PlayStation crowd).
Magazine advertising is getting cheaper, but is likely to be totally out of your budget for a decent ad, and there are no guarantees of even a single enquiry.