My host Kiosk does great tracking analysis for all the sites I host with them. I can get stats on each individual site, how many visits, from where, and from who, and which search engine.
This kind of detailed tracking can show you which advertising is working, which keywords were used to find your site, and help you tune your future advertising.
Free tracking, usually limited in the number of sites or pages, and requiring special HTML code on your site, is done by many, including:
Extreme DM - great for blogs
OneStat
Most third-party tracking involves generating a different URL that you can use for each different advertising source. This form of tracking is good for use with ezines, traffic-exchanges and safelists. Obviously with search engine submitting, you would want to publicise your actual domain name.
TrackMe gives you free tracking via generated URL, as long as you agree to receive two emails a week from its creator.
ResultsTracker is a free url tracker program.
These days you'd have to be crazy not to use Google Analytics for tracking traffic to your site, how long they stay, what search words they used, where they came from. It can even interface with your AdWords payperclick campaigns. And if you don't use Adwords, you can define your own goals, and track how much traffic follows your "funnel", or preferred path through your website. Logging is done on Google's servers, and it's FREE!