A quick answer from somebody who should know:

You have no privacy.
-- Scott McNealy, CEO of Sun Microsystems, the company that makes most of the Internet's servers.

At the heart of the Internet there is a force that wants to know everything about you.
-- Andy Grove, former CEO of Intel

And don't ever believe for even a second those who say that cookies cannot be used to identify you personally (name, last name and address). A company called Doubleclick has already done it and is still doing it. You may have never heard of it, but it sure has heard of you. Just check your cookies. And read this.

"The trigger was last year’s $1.7 billion acquisition of Abacus, America’s largest off-line database, which contains profiles of 90% of households, compiled from magazine subscriptions and store receipts. Unlike DoubleClick’s data, which is entirely anonymous, Abacus had 88m real names and addresses. Mr O’Connor realised that, by marrying the two, he could identify individual web users and not only track, but also predict their behaviour—making online advertising even more science than art. And he would have data that advertisers would pay through the nose for.

Consumer watchdogs were slow to grasp the implications of the Abacus deal—and of the fact that, in its wake, DoubleClick had quietly dropped from its website its pledge to keep users’ data completely anonymous. But they woke up in January when the company announced that it had created profiles of 100,000 individual surfers and was planning to sell them to advertisers."

From The Economist, Nov. 2000. The rest of the article is here. Below is a more recent, if less significant, example of what cookies are.

"The White House has fessed up that the Office of National Drug Control Policy has been found to be using ad-tracking firm DoubleClick to secretly track online behavior of surfers. An embarrassed White House late last week ordered all federal departments and agencies to quit using cookies, which are crumbs of computer code that track user behavior. Cookies help DoubleClick and companies like it tailor ads to individual users. Why the concern? It's possible that the government could track down web surfers who find the drug policy web site by typing in queries such as "how to grow pot." Critics and privacy watchdogs worry that any time government web sites provide links to private web sites and businesses, user privacy is at stake. And they're skeptical about the government's response, even as they praised it for its speed. "First they denied that they were using cookies at all. Now they've changed their policy, but it remains to be seen whether they'll effectively enforce it," says Sarah Andrews, a policy analyst with the Electronic Privacy Information Center."
Daily Yomiuri, April 19, 2005.

But you can be sure that I personally am giving you all the privacy I can, deliberately avoiding the use of cookies.

Not only do I always turn off cookie support in my browsers, I invite you to do the same. Sleezebags like DoubleClick and its Chairman Kevin O'Connor don't need our info. If you feel there are cookies you need, you can have your browser allow those and refuse all others, as you want. I for example let in only Amazon.com's cookies. As a browser, I use the free Firefox, the only Windows browser I really like and trust, which I cannot recommend enough, and which I use both with my Mac and my Windows computers. Not only it has the most advanced and flexible privacy tools around, it's safer than IE also against spyware, adware and viruses.

Alas, DoubleClick and the other scoundrels in its line of business have other ways to screw us besides cookies (Web bugs, for example) but now we have a tool against some of those too. Here Firefox comes again to out rescue. To prevent the use of web bugs, open the Preferences, go to Web Features, check Load Images and For the originating site only. That's it. Some sites won't work properly after that, and this is why I also keep another browser with its default settings unchanged on hand.

I personally sabotage information traders every time I can. For example, if while on the Net I am asked my name and email address, I always give a phoney one (Groucho Marx, resident in Rodent Street, Ratville, Calif.) unless I am receiving something I want in return (free software for example).

Note: my search engine isn't compatible with Firefox :-(.