In a general sense, if you are getting lots of traffic to your site, but no one is buying it will typically mean that something about their experience on your site is putting your potential customers off. What exactly that might be is next-to-impossible to say without seeing the ads and exploring the site - neither of which we can do here.
That said, here are a few things that I'd suggest doing:
* Forget everything that you know about your business for a half an hour.
* Start thinking like a customer who is actively looking for what you offer.
* Search on your most important keyword, look with absolutely fresh eyes at your ad, and click on it.
* Look at the page that you've landed on. As a customer who was looking for something in particular, what do you think, and how do you feel?
* Does the site load quickly? Is it attractive? Is it easy to find what you are looking for? Are the photos big enough? Crisp enough?
* Does the site collect personal information before you can really shop? If so, how does that sit with you?
* Explore the site for a bit. Is it easy to find out exactly how much shipping will be, or do you have to begin a purchase and go through a bunch of steps to get that info? Can you find out how long it will take to have your purchase on your doorstep?
* Look at the language on the site. Is it well written? Or, are there typos and poorly constructed sentences? Do you get the idea that the site owners really know their products inside and out? Do you get the idea that the site owners care about their products? How about if they care about their customers?
* What about the site really makes you want to buy from them? Or, on the other hand, what puts you off if you find yourself feeling that you'd rather buy elsewhere?
* Based on what you see, do you trust the person and business behind that site? Would you feel comfortable giving them your credit card number? Do you feel secure in the knowledge that they would ship your item, and do so quickly?
* And on and on and on, along these same lines.
Bottom line, take a fearless look at your site using the eyes (and wallet or pocketbook) of your intended customer - and some important areas for improvement may well be revealed.
<edit> fixed typo </edit>
[edited by: AdWordsAdvisor at 7:08 pm (utc) on Nov. 16, 2006]