Facebook offers many types of advertising options. Sponsored Stories which will show your ad when a user’s friend interact with your ad, and Facebook advert which can lead to an external URL or a FB page.
There are some demographics which are more comfortable staying on FB and some demographics may like to interact with a real website. Test your adverts and creatives and see what type is giving you the best ROI.
Lets say you are selling Wedding Packages. Your target group is Men who would be buying for their to be wives and women who would be buying it themselves for their wedding. A naive approach would be to create one advert. However as FB allows you to segment on gender, you can choose a different creative for men and women. You may even find that some cities prefer a specific style (FB Allows you to segment on city as well). Start small and optimize before you do big ad spends. The good thing about self server advertising like FB is that they will let you get started with even $50 ad spend.