Two U.S. Congressman recently proposed an Internet Privacy Bill which would require websites to notify clients of all information that the website creates or collects, including cookies, session logs, etc.
Regardless of how this bill fares, it surprises me that so many people are unaware that there is already a way to browse the internet without creating a record. Of course you should avoid providing your information on the internet except to trusted sources, but you may also want to avoid other internet records created simply by browsing a website.
When you browse a website, it may create records within your browser to improve your browsing experience (such as cookies) and it also creates a record in your browsing history. Both of these options can be turned off in browsers, but this could hinder your everyday internet usage.
Instead, when browsing sites that you don't want a record kept for (such as a divorce attorney's website) you can use Private Browsing options available in most browsers. These linked articles describe using Private Browsing in Internet Explorer 8, Google Chrome, Firefox, and Safari.