But in fact the same features that make transparent caching easy make this kind of shenanigans easy. There are tons of companies in this space now. Not just people like NebuAd and R66T, but lots of "subscriber messaging systems" like FrontPorch (which I've heard sells messaging data for behavioral advertising) and PerfTech (which has assured me that they do no such thing).
This should be an easy way to push back one of the last "real" arguments against using HTTPS everywhere. There's no excuse not to be running your site on HTTPS all the time - it protects you and your users from all sorts of mischief for a minimal overhead.