Pretty much everything you mentioned can be turned off in the settings of the site or in your browser settings.
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Originally Posted by Marvelous Marv
Google, for example, records your searches whether you like it or not, apparently.
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I think you might be referring to Google's Personalized Search, which logs everything you search for while you're signed into your Google account. This will help return more personalized search results in the long run, which I think is pretty cool. If you don't want your search history recorded, you can log into your Google account and turn it off in the settings, and you can also delete items from your search history.
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Originally Posted by Marvelous Marv
Some websites (including this one) record the places on their site that you've visited, and they remain "visited" (in other words, the hyperlinks are a different color, to indicate that they've been used) even if you delete cookies and empty your cache.
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Are you sure you're deleting your cookies and emptying your cache? Maybe you forgot to hit refresh? If you're at this site and you delete your cookies and empty your cache, it should log you out of the site.
I guess my point is that websites can only spy on you if you allow them to do so.