They even know unlisted data, like which buyers are currently looking. If they combine it with data from social network partners and other providers they can know the school-friend networks of the buyer's kids, church affiliations, how racist they are, etc.
Wouldn't a place like Zillow have first hand knowledge? You can sign in with your facebook account, for example. Linking your account will give them your public profile, friend list and email address.
Do they have to sell the data for Zillow to figure it out? I assume at a certain point you get enough data from enough sources to make those inferences yourself.
You can sign up to Zillow via Facebook, where they get permission to pull the most relevant data points. They can then make additional inferences based on that.