If you are using Firefox with the Adblock Plus add-on, it is quite easy to stop Facebook from tracking you on third-party sites via its Facebook Connect program or by other means. Just add these four rules to Adblock Plus:

||facebook.com$third-party
||facebook.net$domain=~facebook.com,third-party
||fbcdn.com$domain=~facebook.com,third-party
||fbcdn.net$domain=~facebook.com,third-party

Instead of adding the rules manually, you can subscribe to this Adblock Plus filter subscription: Facebook Connect Opt-Out.