They say that if something sounds too good to be true, then it is - so all these social media sites that everyone enjoys: Facebook, Twitter, LinkedIn, they are all free - the trade-off being that they want your data, that's their business model. They sell advertising and they need us as their cannon fodder, to be bombarded with stuff we haven't asked for. Some people say its a price they are prepared to pay - losing their privacy, for the ability to have the freeby's like Facebook etc.
And of course we know it isn't the Internet itself that is 'spying', its each individual website with its different settings that provide companies with the ability to know our purchasing and browsing habits. The more reputable the company, the more open and transparent they are so that we can make decisions.
The lower you set your security levels on your browser, the less convenience you have, but the more you will be keeping your privacy if that is important to you. Disabling cookies means your web browser won't remember/autopopulate certain fields, eg Amazon, Facebook, etc. but at least you have increased security level, the less is known about your shopping habits. Cookies also gives info to those dudes who are employed to analyse traffic onto their website so they know all about you. And you rarely know if they create a massive database download and sell on your data to other organisations - they make the opt in / opt out boxes as confusing as possible - either tick here NOT to have your data shared (opt out) or tick here TO have your data shared (opt in). They rely on confusing people to get hold of your valuable data!
I remember being spooked out by adverts on a side-bar on Facebook which seemed so targeted they knew how old I was ... how did that happen? Ah yes, Facebook used the year of birth info in my profile. I soon stopped that by deleting my YYYY and just having DD / MM on my date of birth field. But there are sooo many different ways they use data, its impossible to control all of it.
The Internet of Tim Berners-Lee's vision, as an open sharing global community has become increasingly complex - with data privacy legislation varying from country to country, with people becoming less naive and demanding greater transparency about dangers and pitfalls.