Are people clicking through the links in your e-mail newsletter? If not, you may want to reconsider the type of content you provide or the anchor text of your link.
Are people bouncing on a key page? If you have a page where people are taking a quick visit, then leaving your site, you should check if there are any issues with it. Also, look at how people arrived on that page. It is possible the referring site represents that page as being something that it’s not.
Is your AdWords campaign driving useful traffic? Do these visitors make purchases or indicate interest another way, such as using your ‘contact us’ form?
There are a lot more questions you can ask and hopefully the above ones are enough to get you started.