I can be in the top 3 of my niche phrase if I pay 15 cents more per click, right now im bouncing back and fourth on the first page between rankings of 4 and 7. I dont think thats too bad for 15 cents a click and my phrase gets 8k searches per month and its very targeted into buying a 50-200 dollar item.
Do the sums - if the extra cost per conversion is more than offset by the extra conversions, then do it - being at the top is usually quite a bad idea, but if the increase in cost per click is small, it can pay off very well...
Watch the x10 seminar video (video.google.com/videoplay?docid=-3038739116388313537) about Google Adwords to learn the exact answer to your question from one SEM professional. He argues with very good examples against being number one.
If you're interested, I've written in detail why it's not a very good idea in general (though there are exceptions), and how to the find the sweet spot for your advert, on my blog at epiphanysolutions.co.uk. In involves a bit of (quite easy) maths, and shows you how to balance the cost per click (higher for a higher position) against the number of clickthroughs (also higher for a higher position) to get the best cost per conversion (using your site's conversion rate) and hence make as much money as possible (which is, generally speaking, the whole point). As a general rule of thumb, the more expensive the cpc on a high position is relative to your income from a visit (margin*AOV*conversion rate), the lower you want to be - any position where the cost per click is higher than the income from a visit will end up with you losing money...
The best way to find out is to test it and see. It can vary depending on your industry and what you're offer is, your landing page, what you are try to acheive, etc. 1-3 spots are better for branding and lead generation I've found. 4-7 spots are better for 'longtail' shopping type searches. YMMV.