Google announced it is now much easier to link your AdWords account to your Analytics account.

To do so, go to Google Analytics and click on the Admin section. Then click AdWords Linking in the Account column, and then click the New link button to start the linking wizard. you can do the same from the AdWords end by going to Tools and Analysis and clicking on Google Analytics.

Google lists some of the benefits of linking the two accounts:

Importing Analytics goals and transactions into AdWords allows marketers to define success in powerful ways, often without having to retag your site
Site engagement stats help marketers better understand marketing performance and how to optimize
Remarketing with Google Analytics allows marketers to reach new audiences
Importing AdWords data into Analytics lets marketers see data across many accounts in aggregate and combined with rich site metrics

Here is a video from Google on why you should do this:

Forum discussion at Google+.