iqBlog posted a recent that shows some interesting user actions and thoughts pertaining to Google AdWords
The study reports that most users in the study ignored the ads on the right. However, sponsored links above the natural, or organic, search results, were clicked on by many of these users.
Why? Because, as pointed out in this and another study by Jakob Nielsen, "the more an ad looks like a native site component, the more users will look at it."
This is one reason to make sure you are close to the top of search results through higher bids, ads that perform well, all resulting in a fantastic CTR.
Have a look at the complete study about user reaction to AdWords.