Log files from the server are very accurate at showing exactly what happened and when, but log files can be "cooked" so I can see where some buyers might not take them seriously. Also, there is way too much information in log files.
Third-party on-page tracking services can be good. I use StatCounter, which shows me a wealth of information while hiding junk like search engine spider activity. They might mess up and hide a few humans too, but I haven't tested their numbers against my server's log files to try to get an idea of what percent might be hidden.
There are many free or low-cost tracking services. Maybe people could post a few they use or like.
I've been looking to create my own to replace StatCounter, partly because I want to integrate it with my site's signup system as one of the data feeds for a Turing test to keep spam bots from signing up.
Alexa and similar services only work because people install the toolbar on their browser. You can start up a new site, build to 10,000 page loads, and it could be that none of those were from folks with Alexa's toolbar--so you end up with no Alexa rank. On the other hand it only takes a few Alexa users to visit your tiny-traffic site to make its importance swell far beyond that of the next guy's tiny-traffic site. Alexa results only make sense when you have a lot of traffic.
A site I'm building up shows, for the past 30 days (according to StatCounter), 1,323 page loads from 572 visitors. On Alexa I'm 22-millionth or so, which is down from 9-millionth or so of a few months ago--which doesn't seem right to me.