1) Upgrade to the latest version of your favorite browser. Over
time, various security holes and bugs have been fixed as browsers mature.
Also, you might like to know that Netscape isolates javascript functions
to a separate part of memory without access to other parts of your computer,
an area referred to by it's developers as the "sandbox", to prevent possibly
malicious scripts from getting to places they shouldn't. It's my
understanding that Microsoft Internet Explorer doesn't provide this type
of security...
2) Visit Consumer.net's Privacy
Analysis page which will attempt to gain information about your
connection and poll your browser for information, then present it to you
for review. Don't worry, these guys won't use this information for
evil, rather, they are one of the foremost leaders in the war against spammers,
telemarketers, etc. and are out to help people keep private stuff private.
3) Adjust your browser's settings as much as possible to minimize what
information it can give out, by minimizing the amount of information available
under the "Preferences" menus.