BuyMusic’s ads are served by the infamous DoubleClick network.  In the past, Buy.com’s profit philosophy was to underprice products and make up for the loss in profits by advertising, and it’s very likely BuyMusic.com is doing the same thing.  The site’s privacy policy says that BuyMusic.com itself will not collect IP addresses and other personal information.  But that doesn’t keep them from doing so in a roundabout way:

“We use a third party to provide digital music download samples for our customers.  That service collects your IP address, browser type, ISP, platform, and a date/time stamp.”

The excerpt means that “third party” will sell your info (like the songs you’ve listed to) to many other third parties.  In essence, you buy one James Taylor CD, you’ll see James Taylor merchandise everywhere you go on the internet.