There is an endless list of options for tracking sales when using AdWords or other PPC search engines! The first step would be to set up Conversion Tracking to see which keywords/ads are turning into sales. The second step would be to set up Google Analytics (or any other analytics package) that will allow you to utilize revenue tracking. In Analytics, you can set up goals and assign values to those goals for revenue tracking. In addition to revenue tracking, using Analytics will allow you to track sales/goals across all of your PPC advertising.
[edited by: PPCHeroJohn at 3:16 pm (utc) on Oct. 4, 2007]
Using an analytics package as another source for tracking will allow you to draw direct comparisons between PPC sales and natural traffic sales.
There's two kinds of Analytics code - the piece (mentioned above) that goes on every page - that will track all visitors to the site. You can define a sale as a goal, and get some idea that way, but to get the full benefit of GA, you should enable ECommerce tracking. In the settings, you specify that it's an ECommerce site, and add some additional tracking code to the confirmation page of your orders - you'll need to be able to pass some variables to GA as far as your revenue, tax, shipping, order number, products, etc. But if you do this, you will have some invaluable information on how well AdWords is performing for you. If you learn how to write GA tracking urls, you can also track your MSN and Yahoo campaigns in Google Analytics as well, although some of this is not for the faint of heart.
I personally am thinking these days that I won't take on anymore AdWords clients unless they have an analytics program (preferably GA) installed and running. It's like the difference between driving blindfolded, and driving with 20/20 vision. If you're blindfolded, you might get eventually get to your destination, but you're even more likely to kill something along the way.