It's actually kind of fascinating how much information your browser sends to the Web host each time it requests a page. The browser, the browser version, the operating system, your IP address, the type of processor (Intel or PowerPC), the type of device (in the case of a mobile device like an iPhone), what level of security your browser is capable of, the language you're using, whether your browser can accept compressed data, whether your browser will accept cookies, and the version of WebKit you have installed on your computer are all sent automatically.
The headers will also include information about whether or not you are going through a proxy, (often) what your IP is in cases where you are using a proxy, what page you were on if you followed a link to get to the new page, what keywords you used (if the page you were on was a search engine), and whether or not you used the Refresh button on your browser to reload the page.
Mobile browsers also send a "user agent profile," which includes the size of the device's screen, the languages and character sets it supports, the type of device, the model of device, the device manufacturer, and whether or not the device can display multimedia.
On top of that, a page can use JavaScript, Java, ActiveX controls, or other techniques to send to the server the size of the window you are using, what browser plug-ins you have installed (and what versions they are), what fonts you have installed, what your time zone is set to, and what your monitor settings are.
