I use the counter at http://www.addfreestats.com They tell you the path of your visitors on your site and even tells you the exit link. Not just that they tell you exactly which adsense ad was clicked to exit your site. It's pretty cool. Maybe you want something more advanced, but you can try with this one first and see if it suits your needs.
The screenshot shows you a graph of the SEs and where your traffic is coming from, I then click MSN and it shows me the search term. I can then click a button and figure out where I rank for that term. Course it does all the other stat tracking stuff too.