Somebody is watching you!
Or maybe not, but there is definitely somebody that collects some information about your browsing habits and offers location base commercials on your page when you surf and so on, that’s only the minimal that can happen. Probably the paranoid type of guys already know how to minimize their footprint. There could be a lot of reasons why would you surf anonymously, so this is up to you, I will just point to some good references how to stay anonymous on web. Well firstly I would recommend visit TOR project homepage which is widely used and actually was developed for military use. Visit their homepage and read how TOR works:
Secondly then there also is lot of services that offer stay anonym on web you can take a look on this page where Best Free Anonymous Surfing Service are listed: