Gclid is a globally unique tracking parameter (Google Click Identifier) used by Google to pass information back and forth between Google AdWords and Google Analytics. If you enable URL auto tagging in Google AdWords, Google will append a unique ?gclid parameter on your destination URLs at run-time. Because it is a redirect, you won't see any gclid parameters on your ad words text ad destination url's, but it will show up in your Web server log files. Auto tagging was introduced in 2004 and is on by default in any Google AdWords accounts.
The gclid parameter enables data sharing between Google Analytics and Google AdWords. For example, the "Traffic Sources" feature in Google Analytics to segment your campaigns based on ad text and other PPC-related campaign metrics and dimensions, relies on gclid.
An unfortunate side effect of Google Adwords & Google Analytics integration is that it kills your search query data. Critical data pertaining to clicks and conversions are mis-attributed to the keyword in your AdWords account that triggered your ad, not the actual search query that was entered by the searcher.