Would you like to track visitors that come to your website from a PPC / CPC ad? Both Google Adwords and Yahoo Search Marketing Provide such a service.
Google calls it auto-tagging and has turned the feature on by default. When a user clicks on a ad in the search results google will append the query string ?gclid=SOMEUNIQUEVALUE to the url.
If the ad was from a third party web site (a site using Google Adsense) then you can look in the HTTP referrer for the domain googlesyndication.com.
More info from Google on auto-tagging.
It was a little bit harder to find information on Yahoo's Ad tracking URL parameters because it is disabled by default. You can enable it in your Yahoo Search Marketing Account, by going to the Administration tab and clicking on Tracking URLs.
I found a page here describing what the url's will look like. The gclid won't be there but you may find OVRAW, OVKEY, and OVMTC in the URL Query String.