Where do they get this data?
If this bothers you, use duckduckgo.com which has a special bounce-page to hide this info.
Or something like RefControl http://www.stardrifter.org/refcontrol/ for Firefox and control what and to whom you send.
[1] https://www.google.com/
Google SSL uses POST for the search query parameters, so the referrer URI w/ GET parameters will not leak your search terms.
Where do they get this data?