As someone who sells, uses, and produces direct mail I can tell you it's more complicated than simply does it work. As others have noted, Design, Size, Shape, Paper weight, and other things all factor into whether or not Direct Mail will work. I believe, the 2 most important things are Message (Coupons often do quite well and are trackable) and having a good list. Having the right list rather than blanketing an area can make or break a campaign.  

Also you have to be committed to more than one mailing. It usually takes 3-4 per year to make a real impact.