Google Analytics does not track links to external sites, nor does it track non-pageview events such as file downloads. For most sites, these are pretty valuable metrics that should be tracked. Many people deal with this by manually adding onclick code that calls the _trackPageview function to all of their links. At best, this is time consuming, at worst it is error prone and many links get forgotten.
In my experience, this method works quite well, and it takes just a few minutes to implement.