Google analytics is very powerful. I think the graphic goal funnels are especially useful. Also the source keyword list , ie what keywords people had put in to get to your site.
Google Analytics
Google Keywords Tool
Google Webmaster Tools
One thing that has not been mentioned that I find very useful is a simple spread sheet. Creating spreadsheets allows you full control over al of the data. You can chose what to do with it.
So if you want to analyse several sites SERPs with lots of different metrics this gives you a powerful solution.
I am a big fan of doing things manually as you lose touch with what is really going on if you rely too much an automated programs.