I use a php program called Fast Click, recommended to me a while ago by Arkyt. Simple, easy, comprehensive and free.
Basically I track everything these days.
1. I can compare stats to affiliate tracking by the casinos and can very quickly pick up any anomalies. This alone has saved me a lot of time and money as previously it was a case of wait and see. A couple of clicks out here and there is no problem but when I know I have sent say 300 but the affiliate tracking says 150…
2. I can track various ad campaigns from brought traffic to see what sources are working and what are not.
3. We also use a live visitor tracking on many sites (EOT), very useful for seeing real time referrals, what SE’s they came from and the search term used.