In case you weren't aware, a lot of the stuff you can do in a website you can also do in the Flash Player. Prime example: Google Analytics tracking.
Now for a simple Flash movie, you'd traditionally host the Flash file in an external website, and add the tracking to the HTML pages. If you're doing something a little more different - or are obsessive about knowing how your users are interacting with the content - you might be interested to know that there is support for actionscript-initiated tracking, and that it's supported by Google themselves (a good sign).
You can read all about the Google Analytics tracking component for Flash on the Google code website: http://code.google.com/apis/analytics/docs/tracking/flashTrackingIntro.html