Just upgraded to PSE 9 from PSE 6. The Undo/Redo is not working in Camera Raw (ACR 6.5), except when the White Balance tool is unsed. Command-Z (Mac) worked fine on previous version for Undo/Redo. This problem does not arise in PSE itself, only in ACR.
Go to your username>library>preferences and delete anything called Adobe Camera Raw x.x Preferences (x.x meaning version numbers). If you use Lion, that library is hidden. To see it, in the Finder, click the Go menu and hold down the Option key. It will appear in the menu below the little house for your user account.
To: 99jon, double clicking works, but still not as nice as being able to rapidly toggle back and forth between to settings to determin which I prefer.
To: Barbara B.: Deleted ACR preferences, but no change in behavior.
The Kb explains how to do undo and redo