Lunatic, That depends on your goal. Why are you running the ad campaign? Is it to build a mailing list? Send visitors to a funnel (squeeze) page. To sell a product? To your product page. For adsense revenue? To your main page, most likely.
Well, this thread talked specifically about using PPC for generating AdSense revenue, so this would indeed be my goal. I just wondered because my index page has a very low CTR (due to very careful ad placement to not scare visitors away) and I don't see how I could get a positive ROI by targetting it. So I thought about setting up a special sub page just for the PPC visitors with optimized ad placements and so on...
I send visitors directly to a niche page on a site. My site is similar to wisegeek.com's, this is not my site but I came across this site and saw they were doing something similar to what I was doing. If I was the owner of wisegeek.com I would run ads for VPN information and point them to http://www.wisegeek.com/what-is-a-vpn.htm.
You can set up identical campaigns and run one with the content and one with search at the same time. The content network is full of fradulent clicks, but there are many people who have success with it. I would be extra careful if you are targeting a high paying keyword as those have the highest rate of click fraud. While the search network isn't going to have the same kind of fraud, you can have competitors who are running adwords click your ads to eat up your budget and remove your listing. There is no perfect answer, but I certainly wouldn't exclude the search. Whether or not you should include the content depends on your niche.