1) I'm the only one advertising for this keyword.
2) The keyword is a "brand" keyword - actually it's a website's name!
3) My ad says contains website's name TWICE, lists benefits of the site and promotes a specific low price.
My CTR is 0.15%!
The same ad on yahoo for the same keyword provides me with nearly 1% CTR. It's amazing.
Other than that, are you running broad matching? Your ad might be showing for MANY other things that G's broad algo and expanded match algo "thinks" are the same... switch from broad to phrase... or run the broad alongside the phrase and exact match and see if things improve for the tighter targetted matching options.
I think the fact that NOBODY else is advertising is the problem...
all of a sudden your the oddball that nobody wants to click on,
they don't trust you by yourself - next to ALL the natural results.
It's an oddity.