However it's worse than just web sites. I've worked for a nefarious company who feeds of data like theirs. I came to my senses when asked to do things which destroyed my ethics and quit to make amends.
At risk of promoting a fanatic, stallman was right for many years. Once a fanatic, then a told you so, then a visionary. I genuinely was brainwashed to think the guy was nuts until I saw it all with my own eyes.
Some things you can do:
* sign out of Facebook forever. There is no point in deleting your profile. Real friends meet you in real life.
* close your google account. It just follows you like a leaky passport.
* get a dumbphone and turn it off all day unless you need it for emergencies.
* read books instead of use e-readers.
* host your own mail and web services at home. Use SSL (with own CA), SSH and encrypt your email if sensitive.
* ask yourself is your employer really doing ethical work. No? Find somewhere else. This is the hardest bit - it took me 10 years to find somewhere ethical.
* use cash, particularly when shopping in large chains or on public transport systems.
* use Firefox only, with adblock and ghostery.
There are probably more.