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So I basically don't know shit about the Internet but I
do know that I don't like how every time I search for some random shit on Amazon.com, suddenly the Internet thinks I want to buy that shit and all the ads I get are for that shit. If whenever I search Amazon.com I use Opera's "private" tab which, among other things, deletes cookies when you're finished browsing, would that help? Or are ads handled some other way? Don't tell me to just block them - websites depend on ads for revenue and if I visit a website chances are I care enough about it not to block the ad.
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You should install a plugin for a cookie tracker (I've used Ghostery, I'm sure there's something like it for Opera) in your browser just to see how many cookie trackers sites attempt to send to your browser. You can opt not to block the cookies, but just seeing the sausage making of internet advertising is interesting.
Disclaimer: I work in digital advertising.
We call this retargeting and it is not that hard to do. You can probably block a lot of them by disabling 3rd party cookies, however this may have the side-effect of blocking other things like Disqus or other JavaScript "widgets".
The trickier part is if they capture certain information about your device and transfer this server-to-server (behind the scenes) where the ad network can then "fingerprint" you based on the data. Then, you can be retargeted even if you've disabled all cookies completely.
You could look into something like AdBlock and either see if there are lists that are not as stringent as you'd like, or maintain your own list (if you see an ad retargeting you, block that network).
The other part of this is that, for the most part, if you're seeing banner ads ("display") that are retargeting you, the website is not making any money unless you click on the ad. The same usually goes for text ads too (CPC or cost per click is where revenue comes in, and rev-share deals are related to that).
Facebook, gmail, and other sites that have "sticky" login statuses I only open in a private tab which appears to prevent other sites with facebook and google widgets from recognising my accounts. Similarly it means that shopping sites like ebay and amazon and such don't automatically log me in when I access them and thus track search activity. It works pretty well for me.
Interestingly, I basically now only ever see those "one weird tip" ads and nothing else, except occasionally ads for alarmingly specific dating sites looking for people that aren't me.