This will be tough to explain but I'll try.
There's nothing wrong or unethical with simply going out and knocking on doors - as long as you're in compliance with your carriers, DOI and local ordinances.
However, I find it "ethical gray area" to knock on someone's door who replied to a mailer. Those prospects are expecting a call, not an agent to show up.
I would be taken aback if I filled out any type of mailer, then a few days later an agent knocks on my door.
I suppose this depends on what the lead card says, in regard to "how" they would be contacted. If it simply says contacted, that doesn't say by return phone call, contact can be as simple as knocking on their door. They have requested info and the agent is simply delivering it, via personal contact.
Let's face it, many of these sales are just that... overcoming the sales resistance, not necessarily objections to the product. It is way too easy for anyone to blow you off when on the other end of the phone; not so easy when you are on their door step. I don't see this as unethical... They DID request the info. Had they not responded by sending the card back in the mail, it is doubtful that an agent is standing on their door step.