Over the last seven days, I ran a shoestring-budget ad campaign for WordGap to get a feel of AdWords. I set a daily budget of $3, targeting at North American users across all networks and devices; twenty six search keywords related to Scrabble and anagrams were chosen, each with a default bid of $0.25.
During the one week ad campaign, 154 clicks were logged by AdWords as opposed to 283 clicks reported by Google Analytics and 285 by Google AppEngine. I can't really tell if this is normal, but the discrepancy may be explained by AdWords's removal of click spams or accidental clicks.
As you can see in the following screenshot, search ads are about an order of magnitude more effective than display ads in terms of clickthrough rate (CTR). Their average cost per click, however, turn out to be curiously close.
Now that the ad campaign has ended, I'm going to monitor the number of returning visitors for a while before running more experiments.