In the last few years, the whole idea of privacy is being taken to a whole new level. We hear online and on TV that everything we do is monitored. Social networks like Facebook and Twitter house some of our most personal things. Would you let anyone read your Facebook private messages? Or even worst your email. No you wouldn't want that. Even if you have nothing to hide. The most important data these companies value however are not your midnight chat logs.
Just by browsing the web, you are leaving behind some valuable information. Your activity log. Every server you access save this information by default, and every company will kill to have this information.
From it, they can see all the websites you visit and products you check and build an internal portfolio of who you are and what you are interested in. The most important part is that they can see what you want to buy.
The worst part is, you can't do much about it... yeah.
Here is a snippet of the profile Google Adnetworks has built from your activity.