Of course, this is all a bit disingenuous of Valve. First of all -- and let's be honest here -- we all know that they would sell millions of copies if they didn't advertise at all. It's Valve and we all already know that Portal is going to rock. Hard. You already know whether or not you're going to buy it and chances are all the advertising in the world isn't going to change your mind.
Secondly, Valve already has an internal marketing division. Granted, it's small, but these guys have some pretty solid experience at this stuff, not to mention dozens of other staffers who... you know... might have a little bit of experience creating artistic visual presentations.
Finally, they are in the unique position among gaming companies of having a direct marketing channel (Steam) installed on the desktops of many, many potential purchasers. (Hell, not a lot of non-gaming companies have that level of exposure to their marketing audience... television networks, maybe.)
So, while it?s quite feasible for Valve to say "poo poo" to ad agencies, most other companies don't have the resources Valve has. For better or for (mostly) worse, ad agencies still bring value to the table, warts and all.