Linking AdWords and your Google Analytics accounts will help you better evaluate the results of your ad efforts and will arm you with the necessary information to maximize ROI. You'll be able to see how many pages are visited by the people who click on your AdWords ads, how long they stay on your website, how many leave immediately, what pages they browse, and a wealth of other useful information that will help you fine tune your ad campaigns.
After you link AdWords and Google Analytics, you will also be able to compare AdWords results to traffic from other sources. For example, you might want to compare how long visitors from AdWords and Bing Ads stay on your website.