You can replace "Facebook" with thousands of other companies. Everyone is doing this because the cost is low, its easy, and the return is massive. The sole service my roommate's company does is match your customer with data about them from countless other sources.

If you want a peek into a small section of this type of data, go build a facebook ad. You can see all the targeting options. You can upload a list of email and build a "look a like" audience of people who are similar to your customers.

A company called cartalytics will let a brand purchase lists of people who have bought a specific product in the past 6 months and show them ads. Ex. If you've bought a big mac (with a credit or debit card) in the last month, I can show you McDonalds ads.. but they are super expensive.