As title states, also, is there any advantage to having a dedicated plugin for this? In other words, does the plugin offer something that logging into the analytics webpage does not? Thanks!
I use the UltimateAnalytics plugin.. it lets you do a LOT more than just sticking the code in your template.
For me, Google Analytics is the best as it provides me with the most prudence stats. Advertisers love it as well. Although it is not a plugin, it is always worth the fuss of logging into the account and check my stats.
I use the google analytics plugin for wordpress. coolest thing is that you don't even have to edit the template
The only advantage a plugin has is it can give you more control on the stats captured. The plugin Tearabite mentioned is a good one for that.