I just came across what I consider a pretty good stats tool. I hope it's not against the TOS to name it in this context - if so mods can edit and no hard feelings - it's the Hit Lens tool in Web CEO. Basically, you insert a snippet of javascript on your page, which references a javascript at the root level of your server, and it communicates to the Web CEO datacenter to create your traffic reports. It's very detailed and easy to use, so I was considering using it on my site.
But, this program is also used mainly for SEO purposes. Knowing how Google and the other SE's feel about SEO makes me wonder . . . if I use this tracking code on my pages, will I risk getting a penalty? I kind of doubt it, but I thought I'd ask. I know some of the other SEO tools out there can result in penalties, and after having suffered removal from the Google index once, I don't want to risk it again!