Here is a short CHI paper from researchers at Carnegie Mellon about how users use (or do not) a more privacy-aware browser.
Their conclusion:
Privacy concerns are prevalent among users’ current apprehensions about using the Internet for making purchases. While tools are available to make certain aspects of Internet shopping easier (e.g. comparing prices across various vendors), no tools are in widespread usage for evaluating vendors’ privacy practices. For such privacy-enhancing tools to become successful, studies need to be conducted to better determine and analyze users’ privacy concerns. We believe that through the users studies that we have just described, we can gain a better understanding of user’s attitudes towards privacy when making purchasing decisions. Additionally, these studies will also yield information about the utility of Privacy Finder and P3P in general.