Everywhere you go on the web, you leave digital footprints.
Every web site you access, you send your IP address, user agent (which browser), which page you want, when you wanted it - and most of the time this gets written to a log. No-one tends to ever read it, apart from counting up a few stats, and eventually the log gets rotated to long-term storage or deleted.
It's a bit like walking on a beach with a crowd - eventually your footprints get washed away, and unless someone is trying really hard to find you, it's quite difficult to get anything useful.
That's just to start with, though.
Every time you touch the web you're adding to the information trail.
Post on a forum, post your facebook status, update your profile, edit a wiki, even shopping sites tend to track your viewed items to identify your likes and dislikes.
Every single touch adds. And it's not just the text of what you post - you can infer a lot of information from when and where posted. Even what you don't do can provide useful info. If you're running a shopping site, and one paticular item is viewed a lot but does not result in sales, this could indicate that a competitor is undercutting you, or you need to change the description.
Be careful where you step!