It's been way too long since I pointed out that on the internet, everyone (well, almost) knows who you are, no matter how hard you try to be "anonymous". Instead of writing up all concerns, I'll opt to provide a couple of links to articles by Bruce Schneier, one of the top security researchers of which the world has not enough.
Whether you read all of it, part of it, or none at all : don't come crying later on that you didn't know. That no one told you that your search queries would be stored, analyzed and shared. That Facebook would know who you are and what, where and how you buy offline, even though you are not a facebook user (by choice).
"Surveillance and Security Lessons From the Petraeus Scandal"
Facebook tracks you online even after you log out
I'm Being Followed: How Google--and 104 Other Companies--Are Tracking Me on the Web
If that's scary, I agree. Can you do something about it? Yes. Be Vigilant. Don't click on everything you see, read or get shoved in your face. Think twice. Think again.
Install some third party browser add ons that help you get rid of some of the trackers, web bugs or beacons. Here are a few worth considering.
noscript
priv3
Ghostery
Adblock Plus
And if you're really interested in privacy and concerns : Crypto-Gram
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