As of r100 (The next C2 update), the ability to export to *.exe should be added. This will be released in a few days time.
Within the game you are able to use a variety of objects such as arrays, webstorage, Dictionary etc... To store relevant data for your game. If this is not enough, you are able to communicate with a database via a PhP webpage, but this requires you writing your own PhP page. Alternatively information can be stored in XML format, where by you can send call backs to retrieve the information you want. But again this requires you to write your own XML tables.
I am interested in which advertiser will allow you to paste code directly into an HTML5 application/game. I understand it is common with Flash games, but at the moment I understood most advertiser would prefer adverts to either be infront of the HTML5 application (Such as with Kongregate), or besides its (Such as with adsense).
Hope that helps at least a little,
<font color="red">Edit:</font> There is another forum post concerning monetising which you may like to read: http://www.scirra.com/forum/monetizing-our-games_topic55584.html