They collect this data about your web surfing by using the DoubleClick Dart cookie.  They do not collect your personal information such as name and address, but rather they note your interests by the websites that you visit.  They store this information in a text based file called a cookie, and use an ID number to identify you, rather than a name and address.

You can read more about Google Adsense and their advertising Privacy Policy here.  If you wish to opt out of this type of data collection you can click on the Opt Out button on their Privacy Policy page.  Their page includes a full disclosure of what information they collect about you and more detailed information about opting out.  Also review DoubleClick’s website for opt out options.