As discussed before, there are networks of companies planting cookies on your machine and tracking behavior across websites. That means you'll see an ad on one site based on what you did on another.
You can opt out for free. Here's the not very well promoted link.
You'll see a list of which members of the NAI are already placing a cookie on your machine and you can get rid or some or all of them.
To be really clear: I don't mind the cookie sniffing. I don't mind getting better ads. I don't mind the sites making money.
I mind the sneaking around part.