Knowing where you competitors are advertising online is super valuable. Especially for planning your own media budgets. It is also very valuable to understand what ad copy they are using, and which landing pages they send their visitors to.
WhatRunsWhere.com is a great service that has a database of all the ads that run on the internet across millions of websites. The same way google captures the content of a page, and builtwith captures the technology running, WhatRunsWhere captures the ads that run on each website.
This data lets you not only find where your competitors are advertising, but how frequently their ads run, which ad networks they are using, and which ad copy and landing pages they use.
I personally win over tons of clients when I demo WhatRunsWhere for them because it just blows them away knowing exactly where their competitors are advertising.
For search engine advertising though, you will need to use a tool like keywordspy.com or spyfu.com which essentially do the same thing, just focused on search engines.
Happy Hunting.