As of a couple of years ago there were a few ways to track the entire journey users take on the Web. 
I never really delved into the details of this sort of thing, but I believe that the easiest implementation these days is used by the giant ad networks (Google/DoubleClick, AdBrite) are on so many websites that they can build a profile on you based on your IP and the cookies they put on your machine. Every time you visit a website in their network, they log it, and sometimes pass back some information about you to the site you just visited. I imagine Facebook might be useful in this regard to save for the fact that the press would have a field day if they did.
Then there are some seedier ways to do it that I believe (having just stood up and announced the question to the room of 12 developers) that those holes have been closed.