Statistics are great, and no format of business is as easy to get detailed relevant statistics as web business. Statistics can help you finesse your site, improve your Return on investment (ROI), plan the site’s future, impress bank managers, friends and investors.
Overuse of statistics however can become addictive - you can find yourself checking ” how many hits today ” every half an hour and waste time that could have been spent bringing more people in. So as a cautionary don’t check them too often!!!
The main online statistic tools I use (to view internal statistics - not external keyword statistics or similar) are Google Analytics and Hit Tail.
Google Analytics - Visually pretty, fairly useful and free - Register through google and then to install simply stick a bit of Javascript on every page (urchin) and let it do its magic. Using a central file for footers allows easy insertion of said code.

But does all this really come for free? Well not really - I am sure there is more to it than offering nice free service for google. I haven’t had a chance to read the terms and conditions fully but I assume they use the data to further thier control of the internet - I personally accept this cost at the price of good easy statistics (the fact they have effectively javascript control over millions of websites is pretty mental.)
Hit-Tail - This functions in a similar way to google, you register and install a little bit of javascript calling code in the very bottom of your pages, but it offers a more simple approach to literally output where people came from. Its a great tool that in real time will provide you with the search phrases people use to get too you.
I would highly recommend hit tail to anyone who does any seo on their site - as well as allowing you to dynamically watch people find your site it also provides suggestions on keywords to target - which as far as I can work out are calculated by spotting the search’s that have brought people to your site but have very little competition on google.

Once you have got a few hundred + people hitting your site a day it will automatically spot the easiest targets for keyword focussing. Typo’s are quite a common as well as random things people type in like phone numbers!I would advise you set this up, once a week checking your suggestions list and picking the best keywords, focus a little seo on them and this will push you up for Used Search Phrases - likely upping your ROI.

Personally I also use a few scripts I have written that log refferer’s into a database that allows me to mess aroun with the data myself later - but these are slightly double bubble if you intend to use the above!