The site owners place the Facebook crap on their site...therefore enabling Facebook to track you across any and all sites that embed the tracker. Facebook and other tracking companies are so ubiquitous (most sites have multiple trackers) that they end up getting a feed of Sally's activity across the web...via the cookie loophole.

Cookies need restricted to the URL in the address bar. Anything else is like a side effect or unintended and woefully non-transparent consequence of sneaky fucks harvesting your information (clicks, keystrokes, and metadata) via JavaScript and cookies.