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The Basics
When visiting any website, consider asking yourself:
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What information is this website collecting about me?
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What will the website do with this information?
Doing Your Homework
One way to begin to answer these questions is to read a website's privacy policy. While not all privacy documents are easy to read, the Center for Democracy and Technology (CDT), a reputable non-profit, has posted a helpful guide to reading privacy policies.
Unfortunately, not all websites are honest about the information they collect and how they use it. To be thorough, try searching for reviews to see if other people have had problems with the site in question.
Further Analysis
If you're interested in a deeper look at a website's privacy policy, consider also asking yourself:
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Is this site using tracking cookies?
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Can I use this site but prevent it from collecting information about me?
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Can I see what information the site has collected about me?
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How long will the site store information about me?
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Can I request for the site to delete my information?
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What laws govern this site?
Protecting Yourself
A few tips for protecting your privacy online:
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Avoid giving out any more information than is absolutely necessary. That is, if a website is selling you a toaster, they should not need to know your social security number or date of birth
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Disallow tracking cookies using your browser's security settings
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Only use secure online forms (your browser should display a "lock" indicating this)
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Clear your browser's cache after browsing
If you'd like to protect yourself further from possible online privacy violations, a number of tools are available including:
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NoScript for Firefox - extension which prevents some attacks from malicious websites
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Privacy Finder - a search engine that helps you identify sites by their privacy policies
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Stealthier for Firefox - extension which masks your browsing
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Tor - software that prevents websites from analyzing your traffic
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TrackMeNot for Firefox - extension which prevents websites and search engines from tracking and profiling your behavior
Reporting Misconduct
If you believe a site is abusing user privacy, you can help raise awareness and prevent further abuse by reporting it to the FTC, or the CDT, and by reviewing a website for consumers to read on Sitejabber.