http://www2.research.att.com/~bala/papers/wosn09.pdf
There's three ways info leaks:
1 - Referer header, eg facebook.com/profile.php?id=1
2 - Request, eg analytics.google.com/script.js?page=facebook.com/profile.php?id=1
3 - Cookies, eg z.digg.com points to an omniture server, and so passes all digg cookies to them!
1 and 2 are easily exploitable by advertisers who wanted to, but 1 especially seems like a very standard way of building urls on most services. Definitely will get them hammered for good reason, but there's not necessarily any bad intent.
3 seems a lot worse. Are there legit reasons I'm missing for hosting ad servers on the same domain, and so puncturing the browser security model?