I'm interested to know what kind of on-site experiments everyone is planning on trying this year.
I'll suggest one for you to try that worked great for us in 2005: on our conversion page we added an innocuous little poll about our product and the suggestion of another webmaster.
The poll had qualifying questions, and started with the headline: "Is <our product> right for you?" At the bottom a box reads: "If you answered yes to any of the above..." The questions have radio buttons underneath for Yes/No, but no submit button. This is not a data-gathering poll, it is just there to force users to self qualify.
As predicted by the recommending webmaster, we saw conversion rate increase 25% on that page on the 30 days after placing the poll, compared to the 30 days preceding the experiment. The exact number of conversions gives us a 90% confidence interval that this conversion rate will continue to be superior.
For 2006, I plan on trying to incorporate some type of blogging strategy, as well as the possibility for an affiliate program.
What do you want to try for '06?