Google AdWords

To get useful information from your AdWords campaign in your Analytics account, you must link your accounts. This is not done automatically.

Conversions

A conversion (1-per-click) means only a single conversion is reported for a single visitor / customer; this is true even for multiple conversion goals. On the other hand, conversion (many-per-click) reports the total number of conversions for a visitor, following 30 days of an AdWord click.

To view a detailed Conversion report, including segmentation by conversion name (very useful if you have several conversions), you must include the Many-per-click conversion column. Then you can use the segmentation by conversion name (or type) by creating a normal segment.

With the new asynchronous system, the GA script is loaded asynchronously. There is a queue of commands that can be set; once the script is loaded, they will be executed. Once the script is loaded, any command entered into the queue is also directly executed.
If you give the "_trackPageview" command twice (to the same tracker), two calls to the Google backend servers are made. For custom variables obtained after a first "_trackPageview", it may thus be necessary to issue a second one. The second call may be with a virtual URL, if the custom variable is associated to the entire visit (session scope).

Dashboard: not very useful, a collection of shortcuts.
Intelligence: useless, allows you to define automatic alerts.
Visitors: information about visitors (browsers, capabilities, country).
Traffic sources: very important, can help you understand where your visitors come from.
Content: which pages are viewed.
Goals: user-defined goals.
E-commerce: track transactions and items sold.
Custom reports: this can be quite useful as well.
Advanced segments: crucial, allows you to set custom segments.

There is no way to visualize custom variables values or data in the standard GUI; you must create an advanced segment or custom report.

Goals can not be set retroactively; you must set them and only once they are set, data is collected.

Only 5 custom variables. To overcome this, you can put data in the URL (maybe with virtual page views?).
50 variables are available in the Premium version of Analytics.