We tried Yahoo: It's a complete waste of time and money. Ads were always edited by Yahoo staff (requiring frequent e-mails to clarify the service we were paying for), bids may be changed at random, the interface is a nightmare kludge and there is no way to opt out of Yahoo's 'partner network' (which seems to consist only of spam domain landing pages), so bidding a keyword to the top of the Yahoo search results guarantees a load of expensive visitors from click-farms. I would love to advertise on Yahoo's search result pages and will do so the moment Yahoo Search Marketing is taken over by a competently run organization (Go Microsoft!).
We tried Ask.com: You'll receive a tremendous number of visitors on your first day, all from spam domain landing pages. There is no way to specify "place my ads on Ask.com search results only" (which I'd genuinely like to do), so money given directly to them is wasted. Crazily enough, you can cancel your Ask.com advertising and opt into using Google's "Search Network" instead. That will put your ads on Ask's search results without having to deal with Ask.
I'd be interested in hearing real numbers, in regards to how much you had to invest in Mechanical Turk to get a decent response to further your application.
Twitter: using Twitter Search to monitor certain keywords and follow up with users.
The company I work for spends over $50,000 daily on advertising, for a purely virtual (downloadable software) product. This is almost, but not quite, exclusively search advertising. Dollar-wise, over the past few months, the split is:
Google: 87.2% Yahoo: 8.8% MSN: 2.4% Ask: 1.0%
With LookSmart, CJ, NeverBlue and Right Media taking up the sub-one-percent slack.
This is (like other people have noted) largely influenced by what our product is. Search marketing (as opposed to display) is by far best for us, and Google is by far best of search. There is a chance there are some campaigns I've missed.
StumbleUpon seems to be a good one for interesting/clever sites in terms of conversions, and the effective CPC is around $0.05.
With Adwords, there's some fun things digging through and finding keywords your competitors aren't really looking at. There's also a lot of people overlooking keywords in unconventional ordering of the words.
I'm told that experience isn't that common.