Surfing the net with your favorite browser you can pay no attention on the fact that every time you requesting web-page you leave your tracks in the server logs. Depending on webmaster's interests it can be simply your IP or much bigger amount of gathered information. So what to give 'em this information for ?
 
I shall notice that you can be disagree with the all stated below. However it's always good to know both "evil" and "good" things new technologies can bring.
 
Let's start with simple actions that may help you to send not so much data to the server you visit. First of all, I'd recommend you to disable so-called "cookies". Unless the server explicitly tells you to turn them on you can keep them disabled. To make it clear there's no evil code inside cookies but if the cookie somehow associated with your credentials (for example your e-mail) the server's owner can gather some statistical information about your habits while you're on his pages.
 
Example: Assume you're accepting cookies and you're periodically checking your mailbox on some free mail servers with web-mail interface. Some company called ... "no-such-company" has installed a web-shop server at http://no-such-company.now and expects a lot of clients but in vain. Then company starts to send ads to a bunch of addresses (even if it's a one-time mailing it's still SPAM). Since company needs some database of customers to promote own web-shop it can use a simple trick to dump your e-mail into base. How ? Simple. Imagine there's a 1x1 image inside the letter with the 'src' attribute that looks like http://no-such-company.now/saleimg?your_email. When you're opening the letter from the company your browser automatically requests images inside. Requesting image from web-shop domain lets the remote server to write the cookie and your e-mail into database and return unique cookie to your browser. Since this moment, if you're surfing no-such-company.now domain your browser sends above cookie to the server. So the logs can look like the following example:
 
Dec 20 11:01 : your_email from your_ip requested "X-mas gifts" section.
Dec 20 11:04 : your_email from your_ip requested "MD portables" section.
 
Now the shop holders know that you're interested in "MD portables" and can send new tons of SPAM to your e-mail ... And don't forget that the mechanism of restriction of rights to read cookies is imperfect (remember the trick with adding dots to the end of domain name ?).