Browsers have settings so all cookies are deleted after every session.
But some popular websites plant cookies and Flash cookies on visitors' computers. The Flash cookie is used to recreate the deleted regular cookie. So, that regular (or HTTP or HTML) cookie is baaaaaaaaaaack. Adobe, who makes Flash, "condemns" the practice and maybe it's not their security hole. But it's done, so advertisers can monitor your interests.
Some websites have beacons that track what you type into a form and how you mouse. It's dangerous if the website doesn't know it has the beacon or what it does, because it came from a third party. So someone else, unknown who, has a copy of what you input.
Not all leading websites are aware of how much they put on visitors' computers. MSN.com, run by a company that should know Windows better than anyone else could, didn't know how much they were planting. "Microsoft said they didn't know how the [tracking] file got onto MSN.com". The file tracking a surfer's likely gender, age, zip code, marital status, presence of children, income, and home ownership was by Targus, who also said "they didn't know how . . . [it] got onto MSN.com".
Yahoo users might look at themselves in its Ad Interest Manager.
Source: The Web's New Gold Mine: Your Secrets: What They Know (a Wall St. J. Investigation) (1st in ser.), by Julia Angwin, in The Wall Street Journal., section Weekend Journal, Jul. 31-Aug. 1, 2010 (4-star ed.), p. W1 ff. (MSN.com at id., p. W1, col. 4, Yahoo at id., p. W1, col. 5, beacons at id., p. W2, next-to-last col., & Flash cookie use & condemnation at id., p. W2, last col.)
Maybe other parties are also interested in your keystrokes, mousings, Web history, and interests for reasons even more nefarious.
I looked for myself in Yahoo's Ad Interest Manager ( http://info.yahoo.com/privacy/us/yahoo/ ... targeting/
as accessed Aug. 6, 2010). I didn't see much about me, but maybe other people will get more results. Possibly, my using an older browser version that Yahoo doesn't support means I have better security against Yahoo's tracking my comings and goings. Or maybe Yahoo doesn't show everything it claims about me. I did not opt out of the ad targeting, because I suspect that by not opting out I'll be tracked and I'll see more of what they think of me. I suspect they're not displaying everything they know of me, since they seemed to be tracking my use of Wikipedia on my own computer when I had Yahoo open in the same browser instance (in a Wikipedia tab with my cursor over a Wikipedia link the status bar showed a Yahoo URL but I couldn't replicate that after reboot).
I refuse to install Flash because of a security issue (a version years ago had no option to uninstall) and this vindicates my decision. So does Apple's essay at www.apple.com/hotnews/thoughts-on-flash
(for something like an answer on Flash's behalf, see http://www.adobe.com/choice/flash.html?promoid=GXRZW
and http://www.adobe.com/choice/openmarkets ... moid=GXRZV
both as accessed Aug. 15, 2010).