In Yahoo's new Panama ad system there is no easy way to include the keyword in the destination URL. You'd usually want to do this if you are sending a click through an affiliate network (like AzoogleAds or Commission Junction), so you can see the keywords that converted.
In Google AdWords, and MSN adCenter, you can use the keyword substitution macros when you set up your ad. You set your destination URL to look like this:
AdWords and AdCenter will then insert the text the user typed that matched the keyword you specified, replacing the stuff in braces with the keyword.
Yahoo: Although Yahoo has keyword substitution, Yahoo's Panama system won't let you use it in the DestinationURL. However, you can achieve the same effect for tracking at the keyword level.
In technical terms, this is a big, time-consuming Pain in The Ass (PITA). And as Panama has no API, there's no way to automate it through the API. But it may be worth if for certain campaigns.