Surveys tell us that most people think that advertising doesn't work on them.
[Surverys are good for finding out what people think they think.]
This is partially due to what I call I'm Special Bias [a variant of the Lake Wobegon effect], and partially due to the more general idea that Calvin captures so well above.
We don't like to think we are subject to influence.
We believe we are rational and we know that advertising is trying to influence us but that our minds see through it and make decisions based on what we want and need and price and that.
I suspect that one of the reasons it works is because people think it doesn't.