Yahoo is now using something called "Web Beacons" to track Yahoo users around the net and see what you're doing and where you are going - similar to cookies. Take a look at their updated privacy statement:
About half-way down the page, in the section "Outside the Yahoo! Network", you'll see a little "click here" link that will let you "opt-out" of their new method of snooping. I strongly recommend that you do this.
Once you have clicked that link, you are opted out. Notice the "Success" message the top the next page.
Be careful because on that page there is a "Cancel Opt-out" button that, if clicked, will *undo* the opt-out. Feel free to forward this to other groups.
I mean, I wouldn't be surprised, but I'm also not inclined to spread paranoia if it's not true.