Mousey- Don't get too worked up about this, 95% of those sites* tracking you do so just to try to sell you stuff ( No doubt you get a lot of spam for butt-plugs, inflatable mice etc).
For the most part the info is anonymized - they share info etc but couldn't care less who you are in real life etc...
But the bigger issue in Punting world is that it's prudent to read up on this area to ensure you don't inadvertently assist somebody in potentially 'outing' you... the chances of that happening while very remote, can be real... suggest you search for the "cross-referencing" links posted before on EI on similar topics...& read the last part of OP to see just how 'They' can very readily "know it's me personally".
* The bulk of rest of the remaining 5% track on behalf of corporate interests for mundane stuff like visitor numbers/competitive intelligence etc.