I've been using Google Analytics to monitor my statistics, but I heard about Clicky and decided to give it a go. Whereas with Google you have to wait until the following day, Clicky let's you watch what's happening as it's happening - Real time. You can see details of who's online at this moment, what they're looking at, how they got to the site, their geographical location etc.
You can customise the dashboard to get the statistics you want and I've found it really easy and clear to view what's happening - I have to say I'm impressed. You can sign up with Clicky for free - which is what I've done - though there are Pro programmes with different price levels.
You can use it along with Google Analytics, which is what I'm doing at the moment, to see how it goes, but compared to GA and Sitemeter - which I've also used - Clicky has been giving me the clearest picture of what's happening. Click below to check it out.