Not only is it worth it, but I see it as a requirement for a long term e-business marketing plan.
It is so important to be able to analyze every marketing campaign that a company goes on.
I guess if you are just in business, 'to be in business' and you have no intention of figuring out what actually works and you don't really care where your money goes or if your marketing is making or loosing you money than it isn't important, then you probably don't need to bother, but otherwise...
I recommend hitslink tracking.
http://www.hitslink.com , they have so many features and can be setup to track from virtually anywhere. Its just a great program.