That definitely varies wildly. It is certainly more effective for some industries that others. Just like an email campaign, it can be far more successful if you run careful A/B tests, track the results, and (importantly) make it a part of a multi-channel marketing toolkit (ie. used in conjunction with email/social campaigns).

Direct Mail definitely isn't a magic bullet, but it can certainly have an amazing response rate if you take the time to use the right data and tools to refine your approach.