If you want to see where people are leaving on your checkout page then setting up Goal Funneling within Google Analytics is a good start.
The trouble with the default Magento one page checkout is that it only uses one page and AJAX to process through the checkout procedure. In order to optimise your sites checkout process it is important to have a breakdown of where potential customers are leaving. Here are the steps in order for you to get it working:
Open up the template file /app/design/frontend/default/YOURTEMPLATENAME/template/checkout/onepage.phtml in your normal text editor.
Paste the following code at the bottom of the onepage.phtml file. Save and upload the template file.
Login to Google Analytics and setup a new Goal for your selected site using the following settings:
Goal Type: URL Destination
Match Type: Head
MatchGoal URL: /checkout/onepage/success/
Step 1: /checkout/onepage/
Step 2: /checkout/onepage/billing/
Step 3: /checkout/onepage/shipping/
Step 4: /checkout/onepage/shipping_method/
Step 5: /checkout/onepage/payment/
Step 6: /checkout/onepage/review/
Now wait a day or so to collect some stats, login to Analytics and check out the Funnel Visualization for your new goal.