You can obtain party affiliation, registration status, and information on if you've voted or not at the county level. Your vote is still secret. But if you registered as a Democrat and have voted fairly consistently in the past few election cycles, it's not a big leap to assume who you've voted for in the past.

You can try it yourself. Call your local county government and ask what it costs to get voter data. Some counties make it available online for a fee, others will snail mail you a CD. Campaigns either go county-by-county to get this information, or go to a data acquisition company to obtain it. Bonus points if you keep that data updated frequently, as you can ignore folks who have already voted