Microsoft has recently announced two new free services that can greatly enhance your web site:
Windows Live ID and Gatineau.
Windows Live ID provides the ability to leverage the Live platform to provide authentication services to your web site to enable personalization and profiling. More details can be found from the Windows Live ID team's release announcement or the Live Development site. Gatineau is Microsoft's new analytics tool that combines the demographic data enabled through Live ID with web traffic analysis.
If you want to see an excellent comprehensive overview the web analytics industry, check out this 50 minute presentation by Avinash Kaushik.