Referencing security researchers at Princeton University, Bruce Schneier provides information on how websites may be collecting and storing our every move on them for playback to their owners.
“The stated purpose of this data collection includes gathering insights into how users interact with websites and discovering broken or confusing pages. However the extent of data collected by these services far exceeds user expectations; text typed into forms is collected before the user submits the form, and precise mouse movements are saved, all without any visual indication to the user. This data can’t reasonably be expected to be kept anonymous. In fact, some companies allow publishers to explicitly link recordings to a user’s real identity.”
Get over thinking of the Web as a trackless landscape.