TechCrunch posts about HitTail - a new blog visitor measurement tool which focuses on recording and analysing the search terms that get people to your page (I've posted earlier about how much traffic search drives to blogs). I plugged in the script and (now this is anecdotal data) found that my blog loaded a lot slower. I then removed the script immediately and found loading to be normal.
Of course, this could have been simply an issue with the network I am using. However, I've had issues like this before, and once you start loading up your blog with this type of script you risk have trouble like this. A slow loading blog is a sure way to reduce your readership.
To be fair - I'll give it another go in a day or two.