SEOMoz has Open Site Explorer: http://www.opensiteexplorer.org/ which is excellent.
Gives you good info on inbound links and offers competitor comparison, though the free version is limited. Still useful though.
You can also download several toolbars for Firefox - SEOQuake is one that I use.
You can analyse inbound links, page rank, number of pages indexed by google by looking up a phrase on google and seeing the SEOQuake results for each page returned there on Google.
You can also then go to a competitor site and do keyword analysis.
Articles on how to do competitor site analysis help a lot, especially with what to look for when doing competitor site analysis, but I also find the following sites helpful: KeyWordSpy, Woo Rank, Alexa and siteexplorer.search.yahoo.com
SerpYou has good competitor analysis tool:
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