When you visit a website, your browser sends some information to that site's operators -- your IP address, other information about your computer, and cookies that link you to previous visits using that browser, for instance. If the website includes images and content taken from other web servers, that same information is sent to other websites as part of downloading or viewing the page. Advertising networks, analytics providers, and other data collectors may gather information from you in this way.
You can install additional software that runs alongside your browser and will limit how much information is leaked to third-parties in this way. The most well-known examples are programs that block advertisements. EFF offers a tool called Privacy Badger which is another traffic-blocking extension.