I assume this is why I get ads for stuff I just bought on wildly different sites - the advertising network server asks for my cookie before serving the ad and so can identify me?
Yeah that's annoying. I will install adblock one day, but in defence of chewxy I just tend to avoid sites with that crap on them anyway.
Personally, I would suggest using a cookie management tool like cookie monster [1], and other tools like Request Policy [2] or Ghostery [3], depending on your browser of choice (i.e. RP doesn't have a Chromium/chrome extension, AFAIK). Adblock is great, but your reluctance up to this point suggests you would like to support some sites via their advertising efforts.
[1]https://addons.mozilla.org/en-us/firefox/addon/cookie-monste...