For more info from google http://www.google.com/intl/en_uk/analytics/privacyoverview.html
If you want to opt out of Google Analytics you can download an add-on to your browser that will stop you being tracked on all sites you visit. It is avaliable from the following URL https://tools.google.com/dlpage/gaoptout?hl=en-GB
It does the following things:
It is important to think about your privacy level when surfing the web. At the very least you may not want to store a large history in your browser and only accept cookies from trusted sites.