A new day a new thing to set-up on the website. One of the most important part of web development is seeing what your users are doing, probably the best for this is Google Analytics. There are a few other thing you can do to set-up analytical data but Google's options seem to be the most thought through.
Google has moved to the new tracking code in what they call, Universal Analytics. It seems to incorporate a lot more interesting thing in it, like on page tracking, conversions, and better integration in to other services.