The Wall Street Journal has been running an excellent series of articles on commercial tracking technologies used by websites and advertisers to profile and target you. Many will be shocked by the level of detail in the collected information and the scope of its collection.
This information is used for targeting advertising, but also (and worse) for giving you different information, offers, and prices.
Your Privacy Online - What They Know - WSJ.com The main page for this set of reports
On the Web's Cutting Edge, Anonymity in Name Only - WSJ.com: talks about some of the specific tracking technologies and how they are used.
Lawsuit Tackles Files That ‘Re-Spawn’ Tracking Cookies - Digits - WSJ talks about new kinds of tracking methods that allow you to be tracked and identified even if you change IP address and delete cookies in your browser.
Personal Details Exposed Via Biggest U.S. Websites - WSJ.com: talks about how many of the largest and best know sites on the web are actively participating in this tracking trend. In some cases the WSJ found over 100 different tracking tools on a single website.