I have heard that Yahoo Search Marketing has higher conversion rates than Google AdWords. I have also heard that Google is getting pretty expensive. So as far as conversions are concerned would it be better to go with Yahoo Search Marketing instead of Google AdWords?

Yes YSM is having better conversion rate than the google adwords. And one more point you can consider is the costing of google adwords which costs more.

If you compare both of them then I would prefer YSM as my first choice.

I agree with what you said. Google Adwords is very expensive and i got most of my clicks from Yahoo. where i can bid as low as $0.10.
For Google Adwords, i'm asked to bid $1 or $5 to get a keyword active.

The best converting is MSN... but as with anything depends on what audience you are targetting as to which gives better conversions. here is some ppc networks tested results

http://www.cpa-affiliates.com/pay-pe...tworks-tested/

I have had very bad experiences with Yahoo when it comes to pay per click advertising. My converting rates have been very poor and my CPC has been much higher with Yahoo then with Google Adwords. It only shows that each case is different.