I am starting out with a specific vertical market targeted campaign.

What would be your suggestions to achieve better rate of conversion: direct mail, telephone marketing, door-to-door, personal emails (is this spam?), vertical market press ads, internet ads?

I think it depends on who your ideal/target customer is.

For example, say you were offering a complete solution consisting of web hosting and design for small businesses. I would get a list of all newly registered businesses from the county clerk's office and start a direct mail campaign. I tested this in another business and received a 2% response rate.

Now if you were targeting mid size businesses with a hosting budget of $2000+ per year the approach above is not likely to yield good results.

So think about your customer and ask yourself what would they respond to.