Research firm comScore has researched how big media companies and search engines know our so-called data collection events in this way:
"The comScore study tallied five types of “data collection events” on the Internet for 15 large media companies. Four of these events are actions that occur on the sites the media companies run: Pages displayed, search queries entered, videos played, and advertising displayed."

The NY Times article 'How Do They Track You? Let Us Count the Ways' is located at
http://bits.blogs.nytimes.com/2008/03/09/how-do-they-track-you-let-us-count-the-ways/?em&ex=1205294400&en=8662840b2e462d04&ei=5087%0A

The coverage of The Age is located at
http://www.theage.com.au/news/biztech/every-click-you-make-theyll-be-watching-you/2008/03/11/1205125871846.html
in turn.