One of my favorite programs is Livezilla. It lets us monitor and watch visitors surf real time on our web site. It also allows us to force a pop up to engage our web site visitors in a chat sesesion. This has helped us to increase sales by answering questions about our product fast. Some users are not comfortable on the phone and are more willing to chat over the web. The best part is that it leads to instant sales.
Livezilla tells your where the visitors are coming from whether it be a google or yahoo search. The program will also tell you the searchstring they used to find you. Livezilla can tell you the city and region the visitor is from. You can even co-browse with the user. Even if you are not selling products and services it is fun to see where they go on your site and how they found your site. The program is shareware and is fairly easy to install.