As we move from one website to another, we are being constantly tracked by social networks (like Facebook or Google+) and advertising networks. This is why the advertisements displayed on webpages seem to know your sex, age, interests and location. This is also why websites now show the articles or pages that were read there by your Facebook or Google+ friends.
If you find such an invasion into your privacy creepy, try the Ghostery addon for Firefox. (It is also available for all other browsers).
Configure it by clicking on its icon in the addon bar and choosing Options. Choose to block all 3rd party elements (3pes) and cookie-based tracking. If this hampers the functionality of a website, you can selectively turn on some of them later.
Once you have blocked all tracking, visit any website and Ghostery will block all tracking from it. It will display the tracking networks it blocked in a purple overlay window (see screenshot above) and also display more details in its icon on the addon bar at the bottom.
Tried with: Ghostery 2.7.1 and Firefox 10.0.2