I recently set up an adserver, purely so I could split an ad spot on the proxy site between two campaigns, to see which one performs better.
Installing phpAdsNew, an open-source ad-server, was very easy and their documentation is excellent.
Creating the publishing zone was easy enough, then I had to create the two campaigns. The two ad networks I wanted to compare, were RightMedia and BannerConnect, which both use the yieldmanager software developed by RightMedia. I set these two up as Advertisers, then created a campaign for each. Then under the campaign you create a banner, which I created as HTML banners. Originally I used the standard yieldmanager tags, but this didn't seem to work properly, I don't think Internet Explorer was rendering the ads. Naturally I didn't notice at first, I don't do Internet Explorer. After changing to the Raw iFrame tags, I started getting plenty of impressions again and it worked out quite well.
I'm planning to move a few other ad zones over to the adserver, it makes sense and should help my acquire more money! Next step is to get the geo-targeting going, I've got nothing to geo-target right now, but should come in useful at some stage.