I currently use Google Analytics on this site. This should help me to understand how visitors move through my site, so that I have a better idea of which pages are appealing, and which are rarely found.
Google Analytics requires my placing a small piece of code in each of my pages. This code uses a cookie to identify each visitor so that the visitor's journey through my site can be pieced together. Even when a visitor is identified by this cookie, they remain anonymous. My site will know that a visitor started on page X and then went to page Y and Z on my site, but the cookie will not tell me what your name is. The cookie will not reveal any personal data about you.
Every web site is managed by a web server. The web server receives requests from visitors, and sends the requested pages to the visitors.
Each web server keeps a log of the requests it receives. This access log contains a line for each request. On each line is the IP address of the visitor, the time and date the request was received, the file that was requested, and the HTTP status code that was sent in response.
These access logs allow me to see how many visitors I've had, and which pages and files are the most-requested. The access logs do not contain any personal data about visitors.
If I host adverts on my site, the ad company will very likely store a cookie on your machine when you visit any of my pages that display their adverts. If you would rather not receive third-party cookies like this, you can deny them by altering the settings in your web browser. See my page about third-party cookies to understand this subject and learn how to block third-party cookies.
Google web advertisements use a cookie to keep track of your visits to other sites that feature Google ads, so that the ads can be chosen based on your interests. If you would like to opt-out of this "interest-based" advertising from Google, see Google's page about advertising and privacy.