What data about users and how they use your website do you wish you could collect?
sidsavara: One thing that I can't get via Google Analytics (the only one I use) is how long a person stays on one page when they "bounce" immediately.  I have often thought there should be an easy way to build a little javascript ajax call that polls every 5 seconds or something, and whenever they leave - it would stop polling and you'd know they were gone.There are so many details we already have (keywords, page of entry, etc) - but the bounces frustrate me a lot.  If they are bouncing after 2 seconds, that's a problem. If they are bouncing from my info page after 60 seconds, that's a totally different problem: it means they liked what they read, but I somehow couldn't entice them to stay.