As a web user, you have no way of preventing website owners from collecting information about you. One of the best tools for them to do that is Google Analytics -- but that's about to change.
Google is giving people like us a way to opt out of Google Analytics at a browser level. This is great for consumers -- but it will be interesting to see what website owners think of it. Most people looking for statistics are looking for detailed, accurate ones -- if some of their users are anonymous, it's kind of hard to trust your numbers.
In order to opt-out, you will have to install a browser plugin. This plugin has been in the making for over a year, and should be available within a week.