There's no such thing as free on the Internet. You pay in dollars, or in information, or by looking at ads, or visiting infomercial sites; but one way or another you pay. The corollary to this is there's no such thing as privacy on the Internet. Cookies, browser thumbprints, IP addresses, web bugs, embedded scripts track you on services you might never even visit. Even on SmugMug there are Google and other third-party web bugs and scripts that keep track of your visits, clicks and time spent on their site.
Websites sell that information directly or "in anonymized aggregate form" with marketing companies, consumer demographics companies and other organizations. The fallacy is that with enough data and some strategically-placed beacons and scripts, it is not a difficult task to reassociate anonymous data with real individual profiles. And even if these profiles don't have your name attached, it is again another easy step to do so. I saw it in action at one of the top Internet advertising companies over 10 years ago, and I'm sure it is even easier today.