Not only Facebook, I think most other websites/services track what you do on their empire.
This helps them to understand what the users look for, and provide a better experience. (Yes, that means better ads as well)
End-users love integration and smart software. For example, don't you like when Google predicts the last part of your search query ? When Gmail pops up a message box and say "you mentioned I attached ... But your email doesn't have attachments. ..." and you get a chance to attach that zip file you forgot ?
When Facebook suggests a friend you met in the last week ?
Problem of course is that this information is available for client side scripts WITHOUT going through facebook's API, so you won't get a chance to click "Allow" or "Cancel".
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