Here's some Competitive Analysis Free Tools I find useful.
 
http://snapshot.compete.com/webmetricsguru.com/  Compete.com Snapshot of a site (still not that accurate but helpful to have anyway - attempts to gauge unique visitors).
 
http://www.quantcast.com/webmetricsguru.com  Quantcast is an interesting company that I met with and wrote about - data is not accurate unless you put their tag on your site - but it's very interesting and free.
 
http://www.alexaholic.com/webmetricsguru.com+conversionrater.com+kaushik.net  Alexaholic is a great tool if you don't expect much from it …you can compare pageviews (but don't expect accuracy).
 
http://adlab.msn.com/demo.aspx   Microsoft AdLabs Demos
The tools that I find most useful here are:
http://adlab.msn.com/DPUI/DPUI.aspx Demographics Prediction
http://adlab.msn.com/OCI/OCI.aspx     Detect Commerical Intention of a site or a keyword.
http://adlab.msn.com/keywordforecast/KeywordTrendsWeb.aspx  Gives trending information about a set of keywords as well as some basic demographics - I may have been the person to give them the idea to create this tool.
http://adlab.msn.com/searchfunnel/  Search Funnel tool is pretty intersting - would be more useful if it included more terms.  Try this example for "house plans" to see what I mean http://adlab.msn.com/searchfunnel/index.aspx?kwd=house%20plans
 
http://www.claritas.com/MyBestSegments/Default.jsp?ID=20  Claritas PRIZM Cluster Demographic Zipcode lookup.  For example, my zipcode, 11218 has these main cluster demographic groups living near me as well as a map of the the area a zipcode covers.
Brooklyn, NY 11218's most common PRIZM NE Segments are:
Number Name
16 Bohemian Mix
40 Close-In Couples
07 Money & Brains
31 Urban Achievers
59 Urban Elders

http://advertising.msn.com/msnsites/msnsites  Microsoft's MSN Site tool - put in a demographic and the tool will tell you which Microsoft sites have that demographic so you can advertise there.  For example, people who access Microsoft sites from work and using Broadband woul most likely visit MSNBC first - http://advertising.msn.com/AdProducts/MSNProfiler.aspx?Demo_CategoryID=8&Demo_ItemID=99  While people making between 75K and 100K would most likely visit FOX Sports and MSN Money first http://advertising.msn.com/AdProducts/MSNProfiler.aspx?Demo_CategoryID=3&Demo_ItemID=90
 
 
http://www.claritas.com/MyBestCustomers/Content/GeocodeAppend/BatchGeocodeAppendUploadFile.jsp
Claritas Analyze Email List for Cluster Demographics tool (may be a small fee for this tool - but worth it if you have a decent sized list and what to get overall stats on who are the main cluster segments making up your mailing list).
 
http://www.huffingtonpost.com/eat-the-press/  The Huffington Post's People Ranker - a cool widget type tool that tells you how popular someone is over the last week.
 
http://www.webbrain.com/html/default_win.html   WebBrain shows a map of how terms are related that your searching for - that can be very useful for a Competitve Analysis - you can click on links to drill down.