Of course all the normal features.. like the general statistics! But one feature I've never seen, that I really miss is keyword categories! For my diffrent SEO campaigns, I work on diffrent keywords.. and considering the fact that Im working on more than 150 keywords for one of my site, it some times gets a little out of hand..
I think that current programs out right now are good, can't think of anything to add. Just make sure you have things like what reffer site brought them there so you can see your advertising, and demographic things like an ip check to see what country they live in.