Each time you visit a server you are logged as a visitor, from that you leave a few things like browser, ip address, os, if you have came from a search engine it will even log what you typed in. The ip address can be used to trace the country and in some cases even area where the ip would originate from, like Birmingham for example.
The server also logs other things like what pages you visit, how long you spend on them, what site you looked at last in some cases, and what site you went on to visit.
The only way i know to stop this is by using a proxy. A proxy in short accesses the website through another computer or server on the internet so that there details are brought up in the browser and not yours. The best proxy to use is an anonomous one as then its even harder to trace back or get your info...
You can also use a web-proxy, a website where you enter the url into like a search box, and then it allows you to surf that website anonomously.