I pay for my digital newspaper subscription. I pay to read stories (McSweeney's Small Chair) online. I use the tip jar on blogs I like and I buy their merchandise. I'm also planning to get into Kindle Singles [1] (I just don't like Amazon's proprietary ebook format, I'm hoping another etailer comes up with something similar using ePub).
So no, I don't think direct sales are dead and I'm willing to pay not to see ads.