Many people market their websites almost exclusively on the web. This makes about as much sense as advertising your phone number only in the phone book. A website can be your most cost effective promotional tool, if it's promoted properly. If you're relying on people just stumbling across it or getting there from another website, you could be missing out on a lot of traffic.
Make your website prominent on your print advertising. It should be at least as prominent as your phone number if not more so. Invite people to visit. When I want to buy lampshades you don't want me to do a Google search for lampshades and maybe come across your site. You want me to go directly to BobsHouseOfLampshades.com. I'm much more likely to do so if I have a magnet or a postcard laying around with your web address on it.
Your web address should be on your letterhead, your envelopes, your packaging labels, flyers, newspaper ads, door hangers, anything that has your name and/or logo attached to it. Make sure your web address is also included in your email signature as well as your signature block for any forums you may belong to.
If you want to get the most out or your website, don't make me work to find you. Make It Easy.