It can sell your information to others who might want to sell similar products to you. That is the fuel that makes telemarketing and junk mail possible. On a web site, the site can track not only your purchases, but also the pages that you read, the ads that you click on, etc. If you then purchase something and enter your name and address, the site potentially knows much more about you than a traditional mail order company does. This makes targeting much more precise, and that makes a lot of people uncomfortable.
Different sites have different policies.
We do aggregate information together and distribute it. For example, if a reporter asks me how many visitors How Stuff Works has or which page on the site is the most popular, we create those aggregate statistics from data in the database. The second is new. There are certain infrastructure providers that can actually create cookies that are visible on multiple sites. DoubleClick is the most famous example of this.