If your campaigns, adgroups and keywords are showing up (Not Set) within Google Analytics, this blog post will show you how to fix this.
99% of the time, the reason everything is showing up as (Not Set) is because your Adwords account isn't linked to your Google Analytics account.
To link Adwords to Analytics, first log into your Adwords account.
Go to Tools and Analysis > Google Analytics
Select the Admin button on top-right
Select the Google Analytics account you want to link Adwords to. Then select the Data Sources tab.
If you don't see it, then you need to add the Adwords email you're logged into as an Administrator. To do this, log into your Google Analytics account, go to Users and add the email address of the Adwords account you are trying to link.
Click the Link Adwords and Analytics button and link the accounts.
Simple as that.
Going forward, cost data from that linked Adwords account will be applied to that Analytics account.
To confirm that the cost data is being applied, go into the Analytics account you want to confirm, click Admin (top right), Profile Settings on Sub-nav. Look for a checkbox that says "Apply cost sources". If that box is checked, you should be good to go!