Ad channels is a way to group your stats, so that you can tell the difference of your click data between different parts in your website, or even between different websites.
If you don't use channels, it will be hard to analyze your click data. Ad channels is just a way to systemize the reporting. You create Ad channels when you create your Ad units, the option will be given...and you can name your channels anyhow you want.
(It's like a tag. You tag your ads, for example, 728x90 or 160x600, so then you can see which perform the best. And you can have more than one tag for each ad - I usually tag for size, page AND color, so I am always testing)