Compete and Alexa both offer reach, rank and page view information for up to five sites, a must for gauging your competitors' market share in contrast with your own. Alexa provides more trend analysis, as the tool allows you to pull info from up to six years prior, in contrast to Compete's 12 months.
With SpyFu, you can enter a keyword, company name, URL, category or industry and get competitive analysis--including which specific terms competitors are bidding on. At the domain level, you can get info like average CPC, ad position and total clicks per day. Meanwhile, at the keyword level, SpyFu serves up info on things like the top 5 AdWords results (with a glimpse of each ad itself), number of advertisers and, of course, CPC.