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Thanks for the replies.
If they just click away and forget about your site or you do not have any opt-in forms or something like that, you are doing something wrong. Of course I have no clue what kind of website you have, but getting clicks is just one part of the equation, optimizing your landing page is a task in itself, and just letting your visitors choose from 10 other sites is a bad idea.. Why? Because people are lazy, they click on the ad that promises them something, they want to see it (have it, buy it sometimes) right away and they want to be told what to do and where to go. Literally. :) That's when split-testing comes into play (but I would get 15-20 friends and ask them to "click the ad" and listen to what they have to say about your landing page, without thinking, right after they see your page - their first words is what you will have to listen to very carefully.. Cause that's how you should run your first test and model the user behavior before spending money on people you won't be able to ask anything or even see their faces :)
Kinda long answer.. Hope this helps :)