As mentioned in a previous post, retailers such as Target routinely track what their customers are doing and interchange that information with other businesses through information brokers. Here's Stephen Colbert's take on that:
Colbert mentions a case in which a Minnesota man was angered that Target was targeting his teen daughter with ads for baby-related items, only to discover that Target had figured out something he had not, namely, that his daughter was pregnant. There are more news reports here, here, and here. The original New York Times Sunday Magazine article is here.