Web pages use a publishing metaphor. They are pages, after all. We write, open, read and bookmark them. That's one reason why we assume that when a page downloads from a server, it's a one-way deal. The HTML describes the page, lays out the print, loads the graphics onto the page and into the cache.
There is at least the presumption of privacy. After all, reading is a personal (even an intimate) act. At times when interaction is required, such as when we fill out a form, there's a "submit" button that sends information back to the other end of the line. We're still in control.
Most of us know how cookies work. They carry the potential for evil, but most serious e-commerce sites are careful not to abuse a customer's trust.
But the truth is: we are being watched. A lot. And not just by cookies.
background...
If you aren't doing some kind of web ad blocking, please see
Richard M. Smith's pages at:
http://www.tiac.net/users/smiths/
You might be especially interested in the Web Bugs FAQ at:
http://www.tiac.net/users/smiths/privacy/wbfaq.htm
It turns out that some companies are including 1x1 transparent
GIFs from the web ad agencies on some pages, so you can
be tracked on pages where there's no visible ad.
Example: http://www.fedex.com/us/tracking/ -- FedEx's package
tracking page. (Who's tracking who?)
Please implement some kind of banner blocking -- whether it's
Junkbuster, my "webclean" config file for Apache proxy,
Squid, or just making your name server authoritative for
the domain names of the big web advertising agencies.