Where performance is measured, performance can be increased.

The worse scenario is one where you get a lot of traffic to your site and you make some sales, but you don't know where they are coming from, which keywords they are using, what search engines they are using and where they are spending time within your site and where they are leaving.

So you throw more money at driving traffic generally instead of fine tuning your marketing dollars in areas that really bring the business. Web analytics will allow you to measure what's happening. If a certain marketing effort is not brining you any business and it's confused with another effort that is, you have no way of knowing.