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How to prevent being manipulated by evil advertising types (like me).
Working in the advertising business, I'm privy to a lot of online "services" which are dedicated to tracking your every move on the Internet. Their hope is to figure out who you are, learn all about your interests and activities, tie all that information to your public records and finally sell a frighteningly detailed and accurate personal profile to anyone with literally $39. So, as a public service, here are a few things you can do to thwart these nosy bastards.
Services like Intellius.com, BlueKai, and RapLeaf and a host of others are creepy as hell and, frankly, dangerous to everyone who's not a stalker or identity thief (in which case these services are super convenient). Here's a great explanation of how and why online tracking happens. For even more detail, read the EFF's page about online tracking.
So what can you do? The first thing you can do to protect your privacy online is to use a non-commercial browser like...well, there's really only one: Firefox. As a product of the non-profit Mozilla Foundation (and entirely open-source), Firefox isn't trying to study your web habits or sell your personal data (although they DO get a cut of any Google search you do through their in-browser search field, a small price to pay for a top-notch, free browser).
Other recommended addons include AdBuster (blocks ad networks), CookieMonster (manages browser cookies), and especially BetterPrivacy which manages your "super cookies" (aka "flash cookies") the most insidious and eternal tracking method.
Firefox also has a Do Not Track feature that, as of 2011, is essentially toothless as it's entirely voluntary. So enable it, but don't count on it doing anything until Congress passes a law requiring it. And even then, it's more show than go.
Firefox has a "porn browsing" mode that was tactfully renamed "private browsing." It purports to prevent sites from knowing who you are, but it has its faults and doesn't work as well as you would hope, still it's worth using.
Finally, if you're really into weird stuff -- I'm looking at you, Furries -- install TOR for Firefox addon, (TOR stands for The Onion Router). It's a proxy server that cleverly lets you surf the Web anonymously and prevents anyone from knowing where you're surfing. TOR's been recently hacked, but unless you're a Chinese secret agent, you're probably too small a fish for the Feds to care that you like to dress like a fish. The biggest downside of TOR is that it slows your connection to a crawl.
Finally, change your browser search engine to DuckDuckGo.com, a really good search engine -- out of Pennsylvania of all places (!) -- that doesn't store your IP address like Google and Bing. Alternatively, you can try StartPage.com.
Even if you use all of these tactics, you still won't have perfect privacy -- after all, super smart engineers are being paid 40 hours a week to overcome these efforts -- but why make spying on you any easier than it has to be?