One of the more unsettling developments in recent internet history is that advertisers now semi-secretly track you, in great detail, across all websites. It's creepy! But if you use Google Chrome or Mozilla Firefox, you can now block that from happening.
New extensions for each browser will keep ads from tracking you, albeit in different ways. The Firefox plugin uses headers to block trackers, although the websites in question would need to be set to recognize them. Google's plugin blocks specific cookies using a blacklist. Both are free, so feel free to check 'em out and see if you feel like your privacy is being respected more once you have them humming along.