Many would have visited your website but your conversion rate may be low because of your site! But adwords for some keywords => only less visitors
Yes, it works, but as has been implied you might need to make changes to your site and/or choose more suitable keywords to get a worthwhile return on investment.
From what I understand to make adwords work you need to find out precisely: - what keywords and keyphrases work with the kind of people that are interested in your products. This should lead to a long list of keywords and each word or phrase should have it's own targeted advertisement text - test, test, test. - get rid of the keywords and ads that don't work and refine the ones that do - make keyword exclusion lists. That is: your ad may be showing up on searches for free widgets, when you actually sell them for a price. Those searchers aren't your target audience, so you need to exclude the word 'free'. [the above is based only on reading on this subject, not on actually doing any adwords advertising myself]
It depends of niche which you try to explore. I'm working currently on some industry services, and begining isn't so easy as it could be, but I'm waiting patiently for good results. I'm not putting any cost-agressive campagain now, so maybe it because of that.
The idea of it works, however if you are trying to sell a popular product, you may have to pay more for your keywords to get decent results. Also as most other people have said, if you are getting a lot of traffic and still a low sales rate, then you may need to improve your site, that and ensure your traffic is actually vaguely interested in the product you are intending to sell. Diarmuid