A thread over at Cre8asite named exit page statistics query discusses a statistic named bounce rates. This statistic is a very useful metric when trying to understand a page's strengths and weaknesses. It basically tells you percentage of entrances on the page that resulted in exits without viewing any other page on the site.
In the thread, Ammon discusses why sometimes, a high bounce rate is something positive for the the site. Why? Well if they sell ads on a CPC basis, each click to exist the site is money in the owners pocket. But for many other sites, high bounce rates are not preferred.
This blog has a very high bounce rate from the home page, 72.05% for the month of September. But it is expected, most people come to this site daily, read the entries on the index page and leave. There is no reason to click deeper most of the time. Compare that to my corporate site, it is a small fraction of what the bounce rate is on the search engine roundtable. I make an effort to encourage the Web visitor to click deeper for more information.
It is also important to look at a users click path but that is for a different article.