While some of this data can be obtained using tools like Google Analytics, you can't find the queries that bring you high rankings, but no clicks. In Webmaster Tools, the information is available in Statistics > Top search queries. Special tip: if you download all the query stats as a CSV file, you'll also get data for each subdirectory. For example, I found that my posts from March (that are placed in the subdirectory googlesystem.blogspot.com/2007/03/) ranked well in India for these queries: [google transliteration], [google bookmarks], [google screensaver].
Another update lets you exclude some of the links automatically generated by Google that are displayed in some cases for the first search result. "Sitelinks are extra links that appear below some search results in Google. They serve as shortcuts to help users quickly navigate to the important pages on your site. (...) Now, Webmaster Tools lets you view potential sitelinks for your site and block the ones you don't want to appear in Google search results."
Update: Ex-Googler Vanessa Fox has more insight about sitelinks.
Google autogenerates the list of sitelinks at least in part from internal links from the home page. (...) If you want to influence the sitelinks that appear for your site, make sure that your home page includes the links you want and that those links are easy to crawl (in HTML rather than Flash or Javascript, for instance) and have short anchor text that’ll fit in a sitelinks listing. They’ll also have to be relevant links. You can’t just put your Buy Cheap Viagra now link on the home page of your elementary school site and hope for the best. (...)
Not all searches trigger sitelinks. This only happens for searches that Google thinks might benefit from them. For instance, if they think the query has enough inherent intent (...), they figure the listings alone are likely the one-click answer for the searcher.