A sample that I like to give during WF talks is that the tracking service can be used to track things at an event level ("Workflow started") as well as things at a very granular level ("What is the Purchase Order amount?"). 

I wanted to put together a sample showing these, and you can find the file on netfx3.com. 

In order to track things, we first need to specify the tracking profile.  This tells the workflow runtime which events and pieces of data we are interested in collecting while the workflow executes.  I think that the xml representation of the tracking profile is pretty readable, but there is a tool that ships in the Windows SDK designed to make this even easier.  The tool can be found after extracting the workflow samples to a directory under \Technologies\Applications\TrackingProfileDesigner.  This tool will let you open up a workflow by pointing at its containing assembly and then design a tracking profile.  It will deploy the tracking profile to the database for you, but I borrowed some code from another sample that shows the same functionality.  The tool allows you to specify workflow level events as well as activity level events, and allows you to designate what information you would want to extract and specify the annotation as well.