Hi Andy,
Advertising is an interesting subject and there are really no hard and fast rule so to speak.
You have to look at name awareness and the "right time, right place" situation.
Websites are a tool to be used in conjuction with all your other advertising campaigns. Use it as an always open brochure about who you are, what you do and how they can reach you.
If you are advertising ALWAYS include your website as with an advert you have a limited amount of space, however, a click away and you have their full undivided attention reading all about YOU!
Vans, literature, clothing, adverts, email address should all carry your website as you just don't know who will click and look.
For the cost involved to run a website you really have nothing to lose but everything to gain.
Best wishes,
Trevor