RequestPolicy is a Firefox addon that blocks (and whitelists with a click) all cross-site requests, such as sitemeter.com's or google-analytics.com's, or for that matter any funny guy who embeds terrorismandpaedophilia.com in the middle of poniesandkittens.com
If you are bothered by this sort of stuff, install it. Note, however, that it makes it quite cumbersome to visit multimedia-heavy websites for the first time, especially in conjunction with the near-mandatory NoScript.
I use Ghostery. It's less radical than NoScript or RequestPolicy, but it knocks out most tracking scripts and ad networks, including SiteMeter, and it's more pleasant to use.
I have just realized that sitemeter has the following data published about my visit, in a searchable and browsable format:
en-us
Mozilla/5.0 (Macintosh; U; Intel Mac OS X 10.5; en-US; rv:1.9.2.13) Gecko/20101203 Firefox/3.6.13 GTB7.1
I am not a privacy geek, but isn't this a bit too extensive? By the way, I am not from Etyek, Hungary, I am from Budapest, Hungary. Etyek is a very small village, so if sitemeter consistently identifies me as someone from Etyek, then it will be even easier to track my lesswrong browsing habits. It is very easy even without that.