"First: how do you decide what data to send into the package?"
My recommendation is you think about this gradually. Don't instrument everything. Start by picking 5 metrics you really, really care about. One of them should be your One Key Metric (OKM) - a metric that you would be the company on if you could only pick one thing to measure. I think the pressure of picking 5 helps you decide what to measure.
"Second: once you are collecting the data, how do you know what metrics to actively track?"
When you start gradually, there isn't much to pay attention to. Stay focused only on a set of metrics. Add more metrics when you want to understand those specific metrics more deeply. Add more data to split those metrics into groups to dig even deeper. Keep driving your OKM up as much as possible--sometimes you have to do it with something that correlates to it.
"Third: do I really have to dig around trying to find something useful?"
Today, the answer is yes. Businesses are fundamentally very different. Analytics is a lot like science experiments in high school: You start with a hypothesis, you test to see if you were right, and if you were then you came up with a conclusion or answer to your experiment. It's hard work to build a good business. I think the first step is for companies like us to help you understand your data. The next step that I think is more important than simply pulling "insights" out automatically is to help you take action on it so you grow.