There are several of you folks who are interesting in tracking AdSense clicks with Google Analytics. Well, Shawn Hogan from DigitalPoint created a script that makes it possible, at least in Internet Explorer. The details and script you need to add to your pages are at his blog entry named Track AdSense Clicks With Google Analytics. What it does, is enable you to set up an AdSense Click as a goal in Google Analytics. Very cool stuff. He explains, currently "this only works with Internet Explorer because of some limitations/bug with Mozilla."
Official forum thread at DigitalPoint Forums and a thread asking about this is at WebmasterWorld.