The technical reason for them not being cached is that the
URL of the image changes on every page. Your browser, and
any cache software, such as
checks for cache hits by checking for an exact URL match.
A change of 1 character in the URL is interpreted as a miss
and forces a re-fetch. The URL is changed intentionally
so that many different
ads can appear on the same page, and also to increase
the number of ads you can see, which should be about one
per page viewed.
banner advertisments are regular <IMG>s, but
the source appears to have random
content appended to the end. Here's a quick sample of the
URLs for the banner ad which I compiled just clicking around: