There are an increasing amount of tools for tracking your efforts online.
This is both a blessing and a curse. More tools means more variety and opportunity for finding the right tool, but a curse trying to sort through them to find the ones that work for you.
Tracking needs to start with your website – your home base for all your online marketing.
For that – I fully recommend Google Analytics. It is what majority of webmasters use.
Another good and cheap tracking solution that I also use is Statcounter.
And for real time tracking I have just begun working with Get Clicky.
Social Media tracking is more complicated. You can do some tracking of your social media efforts with Google Analytics. Another method is to track your links through various link shortening services like bitly and goo.gl.
For a list of various tools on tracking and website analytics go to http://www.zedbiz.com/new/website-tracking.htm