That's the power behind a tool like Facebook Connect. It is making a Web without walls. Facebook allows you to go to other sites to comment, rate, etc., without having to set up a new profile for that site. ↗
Facebook collects a lot of data from people and admits it. And it also collects data which isn't admitted. And Google does too. As for Microsoft, I don't know. But I do know that Windows has features that send data about the user. ↗