Setup is easy, if not a bit time consuming. First you've got to submit your site for approval for inclusion in the beta program. The first site I submitted took weeks to get approved. The second only took two days. The developers claim that they're working on a first come, first-served basis.
Once you're approved, all you've got to do is paste a single line in one of your site's pages and launch the desktop app. The main screen displays a lot of information. Two charts display pageviews and visits. Your top 20 pages are listed in order of popularity, as are search terms and incoming Google traffic.
That's only the start. You can watch visitors come and go in real time (even chat with them via a pop up) or tag certain visitors to chart their history. There are some really nice reports built in. For each of the general categories -- Visitors, System, Pages, Referrers and Searches -- there are several sub-categories. For example, view popular pages, landing pages, exit pages, outgoing links and downloads via easy-to-read, real-time bar graphs. You can even create custom notifications should a given event occur. I love it.
It works with the iPhone provided that you upload a certain collection of files to your server (there's no official app). As I said, it isn't quite ready for prime time, but they're definitely going in the right direction.