According to IT World, "many major social networking sites are leaking information that allows third party advertising and tracking companies to associate the Web browsing habits of users with a specific person." This assertion is based on research that was recently done by AT&T Labs and the Worcester Polytechnic Institute. The Electronic Frontier Foundation, a civil liberties group that recently blogged about the research findings, wrote, ""In some cases, the leakage may be unintentional, but in others, there is clever and surreptitious anti-privacy engineering at work."
The study is pretty technical, but suffice it to say that a smart coder can figure out a whole bunch of stuff about you from online sources that wouldn't be obvious at first, based on cookies and other data hidden on webpages that you visit. It's actually kind of cool from an academic perspective (but scary from others).