Try this "hxxp://wordpress.org/extend/plugins/googleanalytics/". I use it on all my wordpress it look like work well.

Yep, don't use it unless you like Google having their fingers in your business.

Seriously, GA gives Google way too much information about your activities.

Better to use the opensource alternatives:

1. http://piwik.org

2. http://www.openwebanalytics.com/

I agree with UMS

BUT if you do decide to use it I can recommend Analyticator which as always worked well for my projects.