The most uncomfortable thought is that I end up paying for this in the goods I buy, even if the advertising was not useful to me. The irony is that I don't think I've ever bought something that I saw in an ad on the internet. I have frequently seen ads for things after I bought them though (in the case of internet purchases). It's downright impressive how well the various parties share information, but as far as effective advertising... it is not, as far as I'm concerned. On the other hand, I don't buy things off the "shopping channel" on TV either and that's still pretty big business...

Another sad thought: the amount of money my employer spends in ads directed at me because I've repeatedly hit a certain part of our website while fixing bugs... I really should fix bugs in privacy mode :-)