In order to report on campaigns all the way through to conversion, you need to use appropriate conversion tracking. Conversion tracking is usually accomplished with a small tracking pixel that is placed on the conversion confirmation page of the website.
Google AdWords offers conversion tracking tags, which will allow you to report on AdWords campaigns from impression through to conversion. The AdWords interface provides a wide range of useful reports.
In order to track many other networks, however, third-party tracking needs to be used. Most ad serving technology will also enable pay-per-click tracking, usually at a nominal additional cost per click. If you are running display campaigns through these networks as well, this has the benefit of reporting on how the campaigns might influence each other.
If you are sending traffic to a website that uses Google Analytics, you can use campaign tracking to track and report on campaigns that are driving traffic to the site. You can link your AdWords and Analytics accounts to share information across these platforms, such as the cost paid per click in Google Analytics and some basic analytics information in AdWords.