I know you can have channels etc but it'd be nice to see exactly the url of the ad the person exits your site via.
Adlogger is for you, it's free, find this one and other tools for adsense publishers here: http://www.senserely.com/cool_free_tools_for_adsense_publishers/adlogger.php
I had a look at the demo section of adlogger and clicked three different ads but the stats for all three clicks in the Ad Target URL didn't show the url?
Are you using Firefox? If so, the script can't keep track of the URLs for Firefox users. If you are having a different problem, I would suggest discussing it in the adlogger forums at http://www.adlogger.org/forum/index.php
The tab called "click information" in adlogger shows the following: Date/Time IP Address AdLogger Channel Display Page URL Ad Target URL I'm not certain if the demo stats are live or not, but the target url is being displayed for me in my installation.