Comment Take a look at your cookies (Score 4, Informative) 241
Before getting too paranoid about google analytics, take a look at the actual cookies it stores. E.G. in Firefox "Tools", "Options", "Show Cookies", search for "__utmz". Whoa, there are a few hundred. Check out the one from Slashdot - in my case: "9273847.1252068577.1.1.utmcsr=(direct)|utmccn=(direct)|utmcmd=(none)". "9273847" means "slashdot.org". "1252068577" means me, when I go to Slashdot. The rest of the stuff has to do with how I found the site. But now look at __utmz for say, pennyarcade.com: "84531096.1252070740.1.1.utmcsr=(direct)|utmccn=(direct)|utmcmd=(none)". It's a different web site ID, but it's also a different user ID.
There's no correlation between the person who goes to slashdot, and the person who goes to pennyarcade. Google can't tell that they're both me. My ID is different on every single web site that uses Google analytics. The only purpose of the ID is so that, for a single given website, they can tell the difference between one person visiting it a hundred times, or a hundred people each visiting it one time. There's no other personally identifiable information tied to that number. Your analytics cookies on all those sites are not correlated with each other; they're not tracking everything you do.