you can be tracked across websites in several ways:
1. domain cookies
2. ip address and user agent
3. javascript
4. LSOs
off the top of my head. Tracking cookies can be defeated by adjusting you privacy settings or installing a cookie-blocker extension. Ip address tracking can be defeated by using tor or a distributed proxy.
Javascript is much harder to block because it runs on your local machine. they can imbed scripts that send the tracking website information just by you looking at the page, and they can get your ip using this round-about way. Also, javascript can reveal the exact dimensions of your browser window and other info, and they can pair this with your useragent, cookies, etc. to fingerprint your computer across websites. Last time I checked two years ago, the only way to beat javascript was to disable it completely, which makes the majority of modern websites stop functioning so good luck.
LSO (Local Shared Objects) are particularly nasty, these are "super cookies" used on sites like youtube that serve flash or javascript content, that place a file on your local machine. These 'super cookies' are not deleted when you clear out cookies, and most people are unaware that they even exist.
But yeah, back in the day, you could load up firefox with Tor, BetterPrivacy, Noscript, UserAgentSwitcher, foxyproxy with SOCKS, and a few others, and you were good to go.