I would welcome ads in consoles if I got anything for clicking on them. Like Microsoft points towards games and extras. I'll view the ads and I buy online like every week, so I'm sure you could switch to Amazon-like service for all your games instead of Microsoft.
My pet peeve is not being able to remove your credit card details from web services like Microsoft. It is quicker to have your card replaced then to have your details removed. If the ads have your purchasing details, you should be able to manage them. Play.com is a good example. You can change your credit card details but you cannot remove them unless you close your Play account. Why is that a big deal?
Well when my Xbox live subscription expires it gets updated with the existing credit card on file unless I intervene, which is proving difficult. I can get Microsoft live cheaper on the net, but I should have the option not to have Xbox live, like if that was a good option in the first place.

I can see the ads going the same way. You accidentally click on an advertisement and it sends you away from your game. Getting a point towards your next game purchase could make the experience better.
Advertisements for games would work, but anything else it would have to incur a discount or a click bonus after a confirmed sale to become a benefit.