This is exactly what we did at Techcrunch. The ads sold and we went from $3k a month ad revenue from bad ads with ad sense to $30k a month (the format where it is the square ads in the sidebar - which almost every other blog adopted)

It can work if you're trusted and selling influence.

Later on when we wanted to run some of the high end campaigns and exclusives we ran OpenX

I think serving your own ads is a solution to a lot of ad and media problems that needs to be encouraged. Its strange to me that so many companies hand over so much of their webpage real estate and user trust to what are often complete strangers