Full disclosure: I work for a company that uses these types of ads.
We use Akamai to serve up these kinds of ads. Believe it or not, most internet traffic goes through Akamai at some point, so when they decide to cookie you, they can find you just about anywhere. From the advertiser's point of view, it makes sense. Only between 2% and 5% of visits result in sales. So, by hitting you with these ads, they're trying to get a second chance at that business.
But if the question whether is whether I'd rather see an ad for some random diet that doesn't work, or some other scam, or to see an ad for a website that I willingly chose to go to, I'll take the latter any day.
As for the particular case of that woman and the pair of shoes, I wouldn't advertise for a particular pair of shoes, but then again, being a shoe company, they may have a better insight into the shopping mind of a woman.
Just be glad that these ads are being served up based on some fact. The fact that you visited that site previously. I think that's better than them trying to build a profile of me based on sites I've visited, and then trying to sell me running gear or viagra.