A must, especially if you're paying for links on other sites.

Contains data about traffic to your site; should include unique visitors, return visitors, referring pages/sites, referring search engines, search phrases used, keywords used, most popular hours and days of the week.
 

Shows the ranking/placement of your web site in the major search engines for selected keywords and phrases.

Try to get in 1 engine's top 30, top 10 is best. You should request reports every 3 to 6 months.