*I'm backdating a few posts to keep up the illusion that I never leave the front of my computer for such things as camping and otherwise spending quality time with my family.*
WhatTheInternetKnowsAboutYou.com uses an unintentional security hole that exists in most browsers – the ability to see which links you've clicked in the past to turn them that generic “visited link” purple – to be able to view your browsing history (explanation here).
As they say on the site, this used to be a lot less worrisome when we just went to some basic sites but now, with people visiting social networking sites and URL's that tell a lot about us (which sites we hit on Wikipedia, sites we've hit via Google searches), the potential for malicious use is much higher.