@pilkster, we've observed the exact same thing and are looking for a solution too.
@splashingpixels, you're totally missing it. The point of having all the data in one place (google analytics) is that it automatically tracks conversion metrics, but those metrics are not accurate in this scenario. Also, why take time to manually try to guess what sessions and keywords led to sales when #1 it's at best a guess and #2 it can be automated? You answers are not really helping the OP. The Goal Flow reporting in GA is amazing and brings adwords and organic keywords directly into the conversion and goal data. If you aren't familiar with it - highly recommended - will save you tons of time and guesswork once you have goals and e-commerce settings all configured correctly.
OK, here's what we're trying out to keep all the data accurately reflected in GA - there's a doc on WooCommerce that describes some steps but is currently 404. Still, I was able to pull it from google cache for the time being:
http://webcache.googleusercontent.com/search?q=cache:K6D8cQmyZc4J:wcdocs.woothemes.com/user-guide/payment-gateways-user-guide/paypal-standard/+&cd=8&hl=en&ct=clnk&gl=us
There's also this:
http://www.analyticsresults.com/2010/02/tracking-paypal-with-google-analytics.html
To summarize, we're trying this:
1) PayPal > Profile > My Selling Tools > Web Site Preferences [Update]
2) Set Auto Return ON
3) Set return URL to yoursite.com/checkout/order-received/
4) Save
There's also a note about using ?utm_nooverride=1 to ensure the original source is counted as the referrer (and not paypal). Not sure, but hopefully WooCommerce does this automatically on the URL that it passes to payal as the return URL.
Hopefully that works to bring those PayPal transactions back into the analytics pipeline. We'll see!