Hey mate, good luck to you. I'v not started my own business however these are my thoughts on advertising yourself and they may be useful.
How about both? definately a good idea to have a website with a pic and bio of yourself etc so people can see and relate to you. But alot of people use the yellow pages as their primary source of finding services. That said - one of the best things you can do is become buddy's with the local referrers, Gp's and what not.
A friend of mine told me the first physio practice he set up in Taupo he invited the health community to a cricket game that he set up so he could meet them all and make those contacts.
Thats a NZ approach i suspect but hopefully theres something in there that could be helpful