We use WebSideStory to measure our conversion and other analytics. They spent a lot of time working with us to customise a method to integrate offline conversions with online marketing.
The results we see now are showing that Yahoo! is outpacing Google in CPA. Granted we do have a larger keyword base at Google - but you would think things would be tighter at Google.... we continue to test.
The other interesting thing is MSN PPC. It is doing really well and given that it represents 25-30% of our Yahoo traffic - they could be the top dog from a CPA stance.
Google has the volume and since we are making money on them all - we will take the traffic. But if we had a limited budget the pecking order would be MSN, Yahoo and then Google.