Here is some jQuery you can add to your pages that will allow you to track when people click on these links. You will have to add the Google Analytics Asynchronous Tracking code (found here: http://code.google.com/apis/analytics/docs/tracking/asyncTracking.html) and add jQuery to your page (see here: http://docs.jquery.com/How_jQuery_Works) to use this code:
So, the example above will track clicks on internal links opening files with the extensions pdf, xls, and doc and will categorize them in your Google Analytics event tracking reports as "documents". It will also track outgoing links (links with URLs beginning with "http") and categorize them as "external_links".
If you need more categories, add more if statements. In the method above I create one click event that is attached to every link on the page, rather than just attaching specific events to the links that require them. If a link satisfies more than one criteria (e.g. it's a link both to a PDF, and it's on an external website) then both events will be created. In the end I thought this approach was probably more customizable and efficient overall, especially if there are several event categories.
The setTimeout bit is to allow links that replace the page content (i.e. regular links) a moment before calling the page; so that the GA function has time to execute before opening the page. Be careful when using plugins like Fancybox; add links to such plugins to the exception list in the condition wrapped around the setTimeout function as these functions remove the href attribute and the combination of that and the setTimeout can cause unpredictable behaviour.
You may want to track events for clicks made by specific links like the nav or featured content. You can achieve this using a similar method:
_gaq.push(['_trackEvent', 'main_menu', 'open', $(this).attr('href')]);
Leave comments if you have other suggestions for mixing jQuery and GA for better tracking.