I'm genuinely surprised when anyone clicks these things.
This time around, instead of doing that, I will try using plain English to explain what visitor data I collect and what I do with it.
I have Google Analytics installed on this website.
None of the information collected by Google Analytics is personally identifying in any way. It's more or less just stuff about what browser you're using, how you found the site and what pages you're looking at and so on. Nothing sensational.
It's possible to use Google Analytics to do genuinely useful things like measuring how different bits of content are performing or to track which sources of traffic provide the most money. When I'm working for a client that's exactly how I use it.
When it comes to this site though, I usually use Google Analytics only to see how many people from how many countries are reading my stuff, and then have a good long think about how great I am.
This data gets stored on a Google server somewhere. I'm not sure where exactly: they're Google, they've got a lot of computers. I'll guess it's the USA? Honestly I don't know.
I don't sell or give this visitor data to anyone else. Nobody has access to these juicy details about your screen size and the city you live in except for myself, Google, and probably the NSA.
Apart from Google Analytics, some visitor data gets recorded to the server logs. I don't look at these, but I'm vaguely aware that they're there.
I have no idea what specific information gets recorded on a server log. I hope I never find out. It sounds really boring.
I guess if you were really anxious to know what gets written to a server log then you could go and learn Apache and get right into the nitty gritty of it. I'm happy to leave that one to you.