Today's phrase to freak you out: history sniffing
Lawsuits are being brought as dozens of websites are found to have been engaged in the practice of "history sniffing". This is when you visit a site and that site is able to tell everywhere else you've been by looking into and recording the contents of your browser's history folder. The most current versions of Internet Explorer and Firefox allow this as do older versions of Chrome and Safari. This AP article says that the financial site Morningstar and the right wing blog Newsmax both were found to have been doing this through ad-targeting software from Interclick. Newsmax and Morningstar say that it wasn't them doing it, they had no idea, it was their partner.
Anyway, as long as you never go anywhere online that you don't want everyone to know about, you're fine.