Moczan, I disagree.
Putting ads in games risks further putting off potential players. When you are just getting started, more players giving feedback is more valuable.
Flash crowd is pretty much used to seeing Mochi/CPMStar and nobody whines about it now (unlike 5 years ago), the most popular games use them, so players ignore them most of the time. Posting on portals like Kongregate or Newgrounds your game will be easily played by thousands of players, just putting some statistics system will let you analyse the shit out of it, not even saying about hundreds of people giving you elaborate feedback. Players just don't care, the game has to load anyway and most of the time they will be browsing on other tab or something.
Remember that requiring to download is like hundreds of times bigger barrier of entry than having a web version with ads.
Also, integrating ads into your games shifts focus from actual game-creation.
Those are one-liners, really, I don't understand this argument.
I released my first game
in January this year. Like most first games, it is bad, but it was great learning experience for me. Thanks for it being a Flash game, it has been played somewhere between 50 000 - 100 000 times and other than 'your game sucks' comments, I got a lot of constructive criticism about almost every aspect of the game from a lot of strangers who took their time and wrote me an e-mail or comment. Also, not being butt-hurt about ads let me buy a new laptop which was a great bonus.