www.statcounter.com has the most details about individuals visits. I gives you a blow by blow account of what happened, where people came from (referrer, search keywords), the pages they visited, in the order they visited, and where they went when they left. Quite amazing.
They have a free option, but if you want more stats, it is going to cost you! If the free option is not enough, they have plans ranging from $9 to @29 per month.
Check out the killer Visitor path page.
The second one is going to keep us waiting for some more time. Thank you Mashable! for alerting us about Crazy Egg. Their big thing is going to be to superimpose directly on your page where people click, either as a plain stat, or has a heatmap! Looks really cool. Remains to see whether this is going to be as useful as hyped. We’ll just wait patiently.
In the meantime, I’m going to give statcounter a test drive.