One of the real powers of the internet is that you can track everything. You can track exactly where a user clicks, where they came from, what they searched for, how they found you. It’s important stuff! If you’re going to run a successful website, you’ve got to have some tool for doing statistical analysis of everything. It makes tweaking and trying new stuff way more efficient.
There are tons of tracking programs out there, some you have to pay for (the best ones), some are free. If you’re just starting out here are some good ones:
http://www.statcounter.com – just put some javascript code in your pages. It does a really good job
awstats – web log analyzer – has to be installed on the server
If you’re more into it, and are ready to pay for statistics, the best ones are:
omniture
hitbox
They’re not cheap though.