Some folks have found that a small percentage of customer machines are throwing an exception when the Analytics object is instantiated. To work around this bug for now, use a Try/Catch block when you attempt to instantiate the Analytics object.
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Read the complete post at http://blogs.msdn.com/silverlight_sdk/archive/2009/07/27/use-try-catch-block-with-analytics-object-silverlight-3-bug.aspx