Here's a bunch of boring stuff about how evil this website is. Short version: not very.
My server logs will store the standard stuff, including your IP and browser's user agent string. This means anonymous comments can be traced back to an ISP, so probably can't identify you - unless The Man makes me give you up, and they ask your ISP for your billing details. Best way to avoid that is to keep your comments civil.
In some places on this site I drop the occasional link to Amazon, so I figured I may as well claim my cut of the action by using their affiliate program. Apparently that means I now have to say that I am a participant in the Amazon Europe S.A.r.l. Associates Programme, an affiliate advertising programme designed to provide a means for sites to earn advertising fees by advertising and linking to Amazon.co.uk.
I may set a cookie or two for standard session stuff while you're using the site, and when you leave a comment, I'll set another cookie to store your name and website, so it's filled out next time you want to comment.
I also use Google analytics, which sets a cookie too - your every move is being tracked so that I can report my massive traffic numbers to the shadowy cabal of investors who are behind this site. Or so I can see what's popular and cynically pump it full of links to Amazon affiliates to help fund my DVD habit.
There, hope you found that informative.