I have used the excellent Ghostery for a few weeks now. What it does is it blocks a long list of web tracking and ad network services to make your browsing more private. Every time Ghostery blocks a service, it shows a little bubble with a message what was blocked. This way, you can easily see, who's tracking your browsing how. Also, it's simply interesting.
For example, this is yahoo.com:
google.com doesn't show any warnings, so I guess they track you on their servers, which you cannot block, of course.
For comparison, here's techdirt.com, anandtech.com and engadget.com
It's amazing that techdirt places a whole ten different services on their page that can track you. However, the funniest thing happened today, when a website I visited used Clicky (getclicky.com). I hadn't heard of it before, so I went and took a look. Unfortunately, they use similar addresses to their tracking scripts on their web page, which Ghostery blocked. The feature comparison chart is especially nice:
Well. That's a hard choice, there... =)