For example, Google Analytics allows us to capture visitor data and analyse the traffic on our site. This information helps us better understand where and how you found us, what you are looking for etc... and this kind of information ultimately allows us to improve our site for you.
Google Analytics do not sell, give or trade the statistics they store. Google Analytics explanation on their Policies and Principles page goes into more detail if you want more information.
Depending on your browser, you can manually set your preferences to block cookies and / or notify you before they are placed.