I've been through most every listing in the google directory and dmoz,
and I still haven't found what I've been looking for, which is:

A web log analyzer with the following features:

-- runs on windows
-- can fetch from FTP automatically with wildcards (e.g. /home/user/logs/2004/*.gz)
-- reads log files in GZ
-- allows me to set and save custom filters easily and look at all my
reports through those lenses (e.g. I host a few rss files. I want to
look at all my different reports (traffic, visits, referrer,
bandwidth, etc) both overall, with just rss files, and just non-rss
files)
-- can filter on ANY combination of criteria (filesize, path, referer,
regexp, class A, browser, # of visits, etc)
-- doesn't require rebuilding the stupid database everytime I make a
change (like NetTracker, which I used for a while but db crashes kept
driving me crazy and rebuilds took 30 mins for 6-800 megs of log data
uncompressed)
-- doesn't suck.
-- is cheap, free, or can be *ahem* "made free."

Things I've tried that haven't worked:
NetTracker
clicktracks
analog
awstats
nihuo
123loganalyzer

This is a log analyzer that I have found with the features you requested:
http://www.weblogexpert.com/

It *ahem* might be able to be made free, but the regular price of the
full version  is $74.95 (US)

There is a trial version here http://www.weblogexpert.com/download.htm