Pokertracker and Hold'Em Manager are great for keeping track of your game, seeing where you lose money, etc.
For example, in NLHE you should only be losing money in the blinds, and winning the most money from the button. If you are losing money from any other position (long term) you should adjust your play for that position.
I use Pokertracker, but if I could swap it for HEM I would.
durrrr I WIN's comment about you might as well be a bot is ignorant, as the HUDs will only tell you how often people have made specific moves. That information can be used to help you make a decision about how to play the hand, but it in no way tells
you *how* to play the hand.
A lot of times I'll think "Man that schmuck is always raising me!" but when I look at the stats I see that my interpretation of the events was wrong, and he wasn't raising me nearly as much as it felt like he was. Those stats save me from bad reaction due to biased/imperfect information.