I'm a big privacy nut, as you'll discover if you read my blog posts on this site. However, I do like to know if somebody is reading these posts, and what people find interesting. If I can know what people are reading I can write more to meet those wants. I do not want to invade on anybody's privacy, or their perception of privacy, for example I just turned Facebook connect functionality off because I didn't feel comfortable with those "share" buttons on the site.
The only tracking information I use is Google Analytics. I use it to know who is reading what on my site. Google tracks a reasonable amount of data about you including location data, browser, OS, previous website (referrer), and a few other bits of data. I do not enable "demographic" or "interest" tracking because those require additional tracking cookies from companies I consider less than moral such as Remarketing with Google Analytics, Google Display Network Impression Reporting, the DoubleClick Campaign Manager integration, and Google Analytics Demographics and Interest Reporting.
You won't see a difference on my site, because I don't display advertising, but I also recommend AdBlock, which blocks many of the ads you see on web pages day to day and actually makes the internet a sane place again.