My main problem is cross website tracking. I don't really have a problem with a website keeping track of all my visits to that particular website.
I think it works similar in real life as well. You don't mind if a store clerk recognises you coming back to a shop. But you would be kind of creeped out if he also knew where and when you last visited your dentist.
I'm fine with them keeping my purchase history for example. And then maybe even sending me offers based on that. Now tracking what I viewed or browsed on their site get bit harder.
I think it works similar in real life as well. You don't mind if a store clerk recognises you coming back to a shop. But you would be kind of creeped out if he also knew where and when you last visited your dentist.