If you're playing a modern game like Splinter Cell: Chaos Theory, it's easy to insert an ad into a billboard in the subway or a sign on the back of a truck. Gamers don't mind the ad if it fits into the fabric of the game, says Mitch Davis, CEO of ad game company Massive.

But in a fantasy role-playing game like Sony's "Everquest" or Blizzard's "World of Warcraft," an ad for a modern product will never fit into the context of the game. Why does this matter to you? Well, if your game is supported by ads, you the player won't have to pay as much for it.