As far as I understand from what I learned while
building the HP 3000 Web Starter Kit, the HTTP request
sent to the web server when you browse a site usually
reveals some (or even a lot) information about you.

The NCSA httpd (and thus the Web Kit, too) contains a
CGI script called testcgi (or similar) that displays
quite a lot of that information by showing the shell
environment variables passed from the httpd parent.

You may also check out http://www.anonymizer.com for
related information. Don't be surprised when you get
an eMail from them after visiting their web page. It
is meant to show what footprints a web site might get
from your visit (they claim not to store your eMail
address after this demo).

Lars.

(only speaking for myself... as far as I know)