Recently I’ve become a little more paranoid about this. I also try to remove them when I post anywhere besides private discord server, but I’m wondering how justified my paranoia is and if it’s something I should encourage others to be cautious about.
A website can include any information it has in a link to another website. Usually it’s an ad company tracker or affiliate link so that the referrer (and sometimes recipient) can make money.
They can use this info to build up user profiles, primarily for marketing purposes. There are likely already a few profiles built around your data, some of them attached to your name. They can do this through buying up and linking these kinds of data: IP address, browser fingerprint, url tracking data, logins on different websites, and tracking widgets embedded in sites (like “log in with Facebook”, which allows Facebook to know that you visited that page if you’re logged in on that browser).
Those profiles can be used privately for ad purposes. They can also be given to feds and other people that would do us harm. It’s good to minimize your footprint as much as is practicable, which includes stripping tracking stuff from URLs locally on your side (edit the URL manually) and websites like this one doing their best to strip them from submissions and comments.