I know that this question was asked, answered, and accepted a long time ago... but I just recently asked myself the same question, found jAndy's answer, and slightly improved upon it (regarding the Chrome compatibility issue) and thought I would post my findings.
Andy's beacon answer was nice and simple, but as SirDarius has mentioned, Chrome seems to be optimized to ignore it.
I modified jAndy's code to be as follows:
function sendInfo(something) {
var beacon = new Image();
beacon.src = '/somepath/script.pl?info=' + something;
}
$('a[href^=http]').bind('click', function(e) {
sendInfo(escape(e.href));
setTimeout(function() {window.location.href=e.href;},0); // change window location on timeout
return false; // cancel current window location change
});
and this seemed to get rid of the issue.
Thanks Andy!