One of my ads, from Google AdSense, collects your surfing information as you travel across the net using a DoubleClick cookie. It knows that you searched for Halloween costumes for your dog, and that you like organic crap, and that you once read a blog about nipple hair. It will tailor your advertisements accordingly.
By the same token, when you surf other sites, it will remember that you’ve been here, and it will try to sell you self-help garbage, or whatever my blog is about.
If you’d like to opt out of Google’s ad-tailoring system (I don’t mind it, even if it does remember my bout with hemorrhoids), you can go here to disable it. You can also opt out of a bunch of behavior-tracking ads by going to aboutads.info.