Worse - if you're using Adobe SiteCatalyst analytics (and probably others), you need* to create a domain below yours for the tracking to go to (basically, create a CNAME to their server somewhere in your domain). That means Adobe get to see all the cookies you set in the root of your domain (and I'll bet you don't set all your cookies to just your website or webapp). If you're not very careful, that's just about everything you know about your visitors also going to Adobe.
Ghostery/Adblock or similar are the way to go - the site you're visiting might not really want to know everything about you, but whomever they partner with sure does.
* I say 'need' because this is how I've seen it done. There may be other, less intrusive ways, and possibly different levels of contract with Adobe that demand different infrastructure.