Jeremy raises important points about privacy in Analytical. Whichever way you look at it, if you use Google Analytics, you're sharing your visitor's information with Google.
I completely agree with him and have avoided Google Analytics on my own site for a few years now. Instead, I use Piwik.
Piwik is an Open Source, self-hosted web analytics package that runs on your own server and does much the same job as Google's product, but with one big difference: Piwik respects privacy.
It allows you to anonymise IP addresses, allow site visitors to set Opt-Out Cookies and, best of all, gives you the option of respecting the user's Do Not Track setting.
On this site you'll find privacy settings, along with supporting information, on the Privacy page. Try them out and see what you think. The next time you're building a website, consider using Piwik - for your user's sake.