Here's an interesting story:
http://news.bbc.co.uk/1/hi/technology/4569184.stm
This is what web bugs can find out about you:
http://www.bugnosis.org/faq.html
In summary:
- The IP address of the computer that fetched the Web bug
- The URL of the page that the Web bug is located on
- The URL of the Web bug image, which contains the information to be communicated between the Web page visited and the site collecting the data
- The time the Web bug was viewed
- The type of browser that fetched the Web bug image
- A previously set cookie value