Things like unique visitor, unique referer, unique whatever tracking just explode when you have to compare each IP address you get with 20M-entry list.
If you try to do it on your webserver, you'll have a 3 hour window each day where a significant portion of your CPU and Memory is not available for serving web traffic. If you try to do it elsewhere, you get to ship 20gb daily logfiles around.
It's just not any fun. Which is why even Google has difficulty with it.
Running your own analytics is great for relatively small sites. For big ones it starts to bog down once you hit a certain size.