What you are seeing is the ad panes dropping cookies on you and what is called clear gifs. Is this malicious? Sometimes. Is it the work of the site you go to? Usually no.
As long as you stay away from the porn and game sites. They are the worst.
Any site you go to will have ad panes that are capable of and usually try to do this.
Congress is in the process of passing laws to restrict the deceptive practices of several of the targeting Ad Brokers.
A simple run of spybot or Ad-Adware by Lavasoft, will usually turn up a wide number this type of tracking cookie on any machine that surfs the web. They describe the item, what it does and gives you a chance to remove it.
Installation of a stable antivirus/firewall combination will protect you more than a over zealous program.
On Bugnosis web site they admit
"Can Bugnosis tell me if a Web bug is "good" or "bad"?
Not exactly, although the current battery of tests is a good first step in determining the purpose of any Web bug."
They go on to admit that what they see as "web bugs" are often called clear gifs, and are used to do constructive jobs such as page alignment.
What you have installed on your computer is giving you a false security.
They can't tell the difference between good and bad, they can't remove anything, and they don't give you much in the way of information, other than who they think did it.
Download and use the following on a regular basis and you will take a proactive role in the protection of your machine, your data, and your sanity.
Spybot: Cootie Remover
http://tinyurl.com/ziar
Ad-Aware: Cootie Remover
http://tinyurl.com/tek5
Stinger: Virus Specific Remover
http://vil.nai.com/vil/stinger/
This item will not update through the program. You have to download the new version.
CWshredder: Trojan and Toolbar Cootie Remover
http://tinyurl.com/2bzef
Or
http://tinyurl.com/2k642
Good Luck
Lee