Woopra allows you to watch what visitors to your site are currently reading (yes, LIVE STATS!!), as well as how they found you, what links they clicked on while on your site, where they are from, and much, much more. Woopra also allows you to view a live map of where your visitors are from, run reports, set up filters and notifications, conduct live chat with visitors (which I haven't tried because it sounds a little creepy), and view a calendar of visits and page views.
Woopra is free (for up to 30K page views a month), and there are subscription plans starting at $4.95 a month if you want to track >30K. I've embedded a great (and short) video from Trey Ratcliff over at Stuck In Customs where he goes through a few (just a few) of the great things that Woopra does to analyze your website traffic. If you have a website... you have to try Woopra!