carnival73: If you ever came to discover that entirely everything you do on the webs, no matter where, is being documented, monitored and recorded.
Most of what you do on the internet is recorded. Most of what's recorded then gets dumped after the legally required period to retain records expires. Most places that's a year, give or take. Storage of all your activities is not cheap, and let's face it - we're not exactly interesting enough for anyone to give a crap about what we do. But, since I work in networking and security, if you're feeling like indulging in a little bit of paranoia, I can give you some tips to make it much less likely that "they" know what you're doing.
Proxies. This is the first and most important step in hiding or anonymizing your online activities. Paid proxies are usually better than free ones, and I've paid for proxies before by mailing an envelope with cash in it and a username, just to see if it worked. It did. Probably not so much in, say, Eastern Europe, though, where the mail system is less trustworthy than here in the US.
Encryption. End to end encryption (from your computer to the proxy you're using. You're using a proxy, right?) is supported by many proxies. The proxy keeps the website you're surfing from knowing who you are. The end to end encryption keeps the network devices (routers) from knowing what you're looking at. Deep Packet Inspection is a PITA, though, so we come to...
Actual router at home. Not some D-Link special. Go on eBay and buy a Cisco 2651XM for $60. Make sure it has 128MB flash memory. Now you can build an AES128 or AES256 encrypted VPN tunnel to your proxy and NAT your devices on the inside of your network. This is better than host-to-proxy encryption for a few reasons, not the least of which is your router will also support an access control list and stand as a hardware firewall in addition to your firewall on your computer. Don't sweat someone cracking AES. We aren't worth that kind of CPU time. (Of course, you wouldn't have to use cisco if you don't like them. Old Juniper or business-class Netgear routers are also inexpensive. Cisco's just sort of ubiquitous, and I can speak from experience that there's more help for them than most other brands.)
There's three easy steps that aren't too expensive. If you're concerned about someone having records of your activity somewhere, that will mitigate all but the most determined of eavesdroppers from getting anything useful from you. If you're engaged in actual criminal activity and have law enforcement or government after you, though, nothing you can do will help. It's not like on TV. They're pretty awesome, and they have better toys than you do.
Oh, and turn off your damn wireless. People who think wireless is secure make me lol.