I'm currently reading the ORA book on ASP.Net development (which, by the way, is not a well written book, but is the first I've seen to show c# examples along with VB) and was pretty impressed by the built in adRotator tag. For the heck of it, I decided to write one in CFML, which you can download now.
The tag works quite simply. You create a simple XML file that declares your ads (the image, url, etc) and then simply point adRotator.cfm to the XML file. It certainly isn't as cool as a real banner management system, but it was fun to write.