poster brought it up, but I wanted to be really clear...
If you make your tracking code look like an important or special link, then they won't cut it out. I'd say the key is to make it relevant to your offer (and I sure hope you aren't advertising without a compelling offer!)
so... You're advertising "free shoelaces with purchase of shoes"... your address could be
www.myshoes.com/freelaces
In other ads, you could do variations... freeshoelaces, lacemeup, bonuslaces...
I recently addressed this same issue when building my affiliate program. I didn't want to use traditional links (like myshoes.com/?aff=you) and opted instead for putting custom codes in sub-domain format. In our example... freelaces.myshoes.com
However, I personally would be wary of using sub-domains in print. I think the www. goes a long way to people recognizing it as a domain name. Especially if you're targeting a general (non web-savy) audience.
Yes, you could print
www.freelaces.myshoes.com but that's just a different opportunity for confusion.
Overall, I'd say people understand the sub-directory (/folder) approach more than the sub-domain.
-Ryan