Is it against most radio station policy for Djs to blatantly advertise for a band, namely if it's there own?

I'd talk to the station manager or their salespeople, airtime costs money.

When Warrant came to a nearby town this summer the promoters paid us for ads and our manager encouraged us to mention it on air, and we gave away some tickets and shit.

We've done promotions for concerts clear across the country. Garth Brooks did a one night stand in Kansas City, and we gave away a trip to the show, and tickets and all that, and our station is on the West Coast....

On another note, we get encouraged to talk about our favorite bands/songs on the air, gives a more personal feel to the whole thing

It depends if the DJ is getting paid on the side for the "plugs". It's called plugola or payola and its illegal in the United States.
See: http://en.wikipedia.org/wiki/Payola