From where do you get all the visitors to your site?
The sources from where they come are very important and regularly tracking them can give you basic idea of what kind of people visit you site/blog, helping you to further improvise on SEO. The sources of traffic can be divided into 3 groups :
1)Direct sources
2)Search engine sources
3)Referring sources
Direct sources are the visits by people who visit your site directly by entering URL ino their browser. It can include you, your friends and visitors who enter through bookmarks.
Search engine sources are the search engines which drive traffic to your site. Knowing the keywords for which you earn traffic is very important.
Referring sources are sites which contain link of your site in them. These are mainly social bookmarking sites, blog communities, social networking sites, etc.

Here are some sites that will help you determine these sources :
Google analytics
SignUp for google analytics and get detailed overview of your site and your traffic.
They give you a short code to install and you are done.

Sitemeter
SignUp for a sitemeter free counter, you get an option "By referral" in the sidebar which give you details of the sources. You also have option to see what the users clicked on your site.

Mybloglog
This is my favourite tool. Mybloglog is a blog community, if you dont have an id Signup there and add a blog/site to your profile. You get an option to know statistics of your site. This lets you know visitor sources and also what users clicked on your site.

I have listed these under traffic sources topic but they will provide you a lot more info about your visitors like :
Which keywords get you traffic from search engines.
How long they stayed on your site.
What they clicked on your site (Important specially when you use ppc ads or referral links).
pageviews within your site.
Geo-location of visitors.
Average visitors per day.

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These tools will help you a lot! trust me.

Now how will you know who and how many people have visited your site? Its simple! there are some sites which manage your traffic. They will tell you how many visitors visited your site and when they have visited or in other words a detailed daily statistics. How much do they charge you? Its nil! for a free basic account some provide a free service but you may switch to a premium or charged version if you need extra services (atleast i never need)

After signing up for their account and logging in you may find many options like setting up your counter view or starting point for your counter, they may also provide options like ignoring visits from some ip, fill them is upto you. After setting up every thing you will be given a code, copy it and just paste as it is where ever you like in your site (if you try to change it to remove backlink etc. your counter may be disabled). Couple of them are used on my site

Here are some of sites providing free counters :

Sitemeter

Statcounter

Mywebstats

Freehitcounter

Onestatfree