Three huge factors are differentiation, relevancy, and timing. It also depends VERY heavily on the offer and price point.
I've done campaigns where I spent $17 and made $120,000+... to a high level service. I've done some for my clients selling supplements and got a 5% response rate to an autoship offer which was very profitable, because it was directly after they purchased the first product and "fit like a glove".
Then I've had campaigns that failed and it was because it was a "me too" offer to a cold list. Lesson learned!
I will say though that direct mail is an ENORMOUS opportunity for anybody using mostly online methods. Most people think it doesn't work anymore, even though that's not true whatsoever. It's a goldmine waiting to be found, which is why I actually work on performance-only with clients who want to implement it ;)