I've always known this is happening and previously I didn't care because you figure if you are going to get advertised to, why not make it relevant, right? Well, it's more complex than that, here are the problems I have with this kind of data tracking:
1. Data can we used against you in ways you might not understand or have considered. 2. It's a waste of money and resources. Think of all the extra bandwidth, server space, human time, that is spent on just trying to sell people more shit. 3. I don't like the idea of people making money off my data without my knowledge. 4. Targeted ads might distract me and cause me to waste extra time online.
Bottom line -- I have a moral objection to the whole idea of it, and will do everything I can do stop it.