I just wanted to chime in and support everything the last message said regarding cookies and sniffers. They are extremely common and many, if not most of the major sites use them. Having said that, most cookies are quite innocuous. They allow the site to bring you back to a section where you left off last time, allow you not to have to key in the same info twice, and so forth. But not all of them are so innocuous.
Many sites continue to use cookies to furtively collect marketing information.
In a sense though cookies are yesterday's news. There are many new ways for sites to collect information without the use of cookies. There is a tendency for some to see this as all very conspiratorial, or to see those who have concerns as just paranoid. But the bottom line is that many companies see the web as an extraordinary means of collecting information for marketing purposes, and the temptation is just too great to pass up. Many new means of collecting information come form unexpected places.