I used to think that everyone on facebook was being bombarded with ads for Arrested Development t-shirts and American Apparel. Not so. It seems that facebook monitors not only which ads you click on, but also your actual profile info to target ads to you. Information about the countries in which you access facebook also sticks; after living in France for 8 months I still get ads intended for French citizens applying for US visas.
My friend clicked on a link for meeting "cute, single girls", and now he gets ads for singles sites every time he logs in. So there's at least one downside of targeted ads, they may remind you of doing something embarrassing you'd rather forget :)
