As Dustin Curtis points out, this is nice for getting more “tailored suggestions”, but what about the privacy issues?
Basically, every time you visit a site that has a follow button, a “tweet this” button, or a hovercard, Twitter is recording your behavior. It is transparently watching your movements and storing them somewhere for later use. Right now, that data will make better suggestions for accounts you might want to follow. But what other things can it be used for? The privacy implications of such behavior by a company so large are sweeping and absolute.
In an update at the bottom of his post, Dustin adds some clarification from Twitter that: (a) they do not and will not sell browsing history to advertisers; and (b) they delete visits to pages within the Twitter ecosystem after 10 days.
Nevertheless, you can disable Twitter Tracking under the “Personalization” option of your top-level Account Settings. I did. Also, as Jeremy Stanley points out, Safari 5.2 will have an option to ask websites not to track you and Twitter honors this request.