I don't just use them for AdSense. I use them to see where people are clicking - are they clicking on stuff that isn't linked? Then I probably need to consider putting a link there. Are they click on placements that I'm not getting a lot of revenue on? Then Google is probably yanking it back for some reason. Do they like one type of menu link better than another? That will tell me.
I used it on a client site once (no AdSense) and found out that the fancy navigation that we spent hours thinking up and implementing was being almost totally ignored in favor of a big honking search box.
It's just so useful for so little money, I can't understand why everyone doesn't do it.