Don't use trusted connection...
UPDATE! Check out Trusted Connections: There's more to it than that for the rest of the story...
I've been having a nagging issue with a couple of my CS sites and finally spent some time to work it out. Basically, my blogs weren't tracking views and my membership statistics never seemed to update.
I didn't have any interesting exceptions in the exceptions report (control panel->administration->reports->exceptions report) but I had a few jobs that wouldn't seem to run (control panel->administration->reports->jobs report). While my SiteStatisicsJob and my ViewsJob seemed to run regularly and successfully, I wasn't getting any data. The indexing and search jobs seemed to be the ones that weren't running.
I pulled down my site to my local machine and started debugging and found that views were being recorded and all jobs were running successfully when I hit the site locally but on the server, I wasn't having any luck.
I started searching around the Community Server forums and found a post from Ryan Olshan about trusted connections so I gave it a shot.
Sure enough, using sql auth instead of windows auth solved my problem - views are being tracked now and my membership statistics are being updated.
So, long story short, in your web.config, when you supply your db connection string, provide a uid and pwd and set trusted_connection=no.
Again, check out Trusted Connections: There's more to it than that - trusted connections are actually a GoodThing[tm].