They say that matching the Adsense ad to your website is key to generating more clicks but something I haven't tried yet is changing the ad link color to a color other than the traditional blue link. Maybe to a color that catches the eye more. I think internet users are becoming unresponsive to the blue.
Yes, I like using a traditional blue or black for the actual link (this helps people know where to go), but I do like changing the basic text color to one that is the least used in the rest of the site, so that it brings it out and complements it.