I believe that some sites require that your ip address be resolvable into
a domain name (I am a little fuzzy about this), and thus if you have a dynamic
ip you won't be served by those sites.
In general, servers do not know who you are unless you tell them. Many sites
use proxy servers, so all http requests from that site appear to come from
a single ip address. There are some mechanisms which can identify you, but
you have to set this up, and I think its a hassle. This is related to being
able to do secure transactions, I think.
I don't think it can be understated that it is now possible to gather a lot
of info about a person by doing various serches on the net. If you have
ever entered your email address into somebody's form, along with name etc. then
there is potential for this stuff to pop up anywhere.
I have noted, for instance, that for some mailing lists, you can finger the list
address and get back a full list of the email addresses of the members.
At any rate, web browsing does not appear to me to be any more "dangerous"
(cookies or no cookies) than many other things, and less than a lot of them.
For instance, if you telnet to another site over the net, anybody who is
"sniffing" packets can get your password because its right there in the packets.
dave