Dave Chaffey summarises some very useful statistics about the effectiveness of pay-per-click advertising relative to "natural" search (the left hand side).
Basically, people click on the left hand side (i.e. not the ads): 60.8% for Yahoo! and 72.3% for Google.
Also: 81.7% will start a new search if they can find it in the first 3 pages (typically 30 results). Make sure you come on the first page