Imo the truth is much scarier: advertises know us better than we known ourselves. There's also the idea that we are so alike, advertises can generalize to great success.
I think the truth is actually that we are MUCH less unique than we would like to believe, and that some combination of age + gender + location probably predicts like 80% of our interests.
This is especially blatant when you don't fit into any category advertisers understand. Most of them think I'm either a hip urban youth or a well-off exurban housewife. I don't think they know what to do with someone who has associations, friendships, and interests that cross countless geographic and socioeconomic boundaries.