When advertising your site in various places, try using a query string. For example:
www.site.com/?adwords
www.site.com/?newsletter
etc.
It's a good way to label all of the different places you're getting traffic from. Then, use your favorite traffic statistics analyzer - such as Urchin or Hitbox - and you can track visitor paths. You can see the top paths followed by people who came to your site via a newsletter compared to the people who came to your site via AdWords, for example.
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