Ordinary users of search engines, bank portals, e-commerce sites usually don’t care about all various data that these keep about Web site visitors in order to learn more about their behavior, habits and preferences.
In article Barclays Manipulates Online Sales there is one explanation how they collects and uses data about visitors. Also, they have couple of words about what Google do when you install Google toolbar.
It is also well known that other site owners are collecting information about site visitors. Sometimes it is told to users clearly, sometimes less clearly and sometimes not. Advice is: be careful.