This is one of the reasons I really like uMatrix. In addition to giving really fine-grained controls over what you load (by type of asset, by domain given current domain), it gives you really great visibility into what a webpage is doing, and where it's sending data. I have mine set up to act like NoScript by default -- to block first-party JS.
You end up noticing some surprising things. For example, yesterday I read an article (http://www.lowtechmagazine.com/2015/10/how-to-build-a-low-te...) from Low-Tech Magazine, about how to build a "low-tech internet" (an article I really liked, BTW). Happily, the page loaded just fine without any JavaScript, but I still noticed in my uMatrix panel that the page was trying to load various assets from 20-some domains, about half of which uMatrix recognizes as tracking domains. A little disconcerting for a site called Low-Tech Magazine.
Appropriately, the very site this article is sourced from, The Guardian, readily derided Facebook for its invasive tracking aspects. Another link on HN then pointed out that The Guardian themselves spread data out to 56 tracking services.
Oh, that is dastardly, I didn't see that. I also have every FB domain set to null in my hosts file, but I think it's time to extend that to my internal DNS too!