Imo the truth is much scarier: advertises know us better than we known ourselves. There's also the idea that we are so alike, advertises can generalize to great success.
This is especially blatant when you don't fit into any category advertisers understand. Most of them think I'm either a hip urban youth or a well-off exurban housewife. I don't think they know what to do with someone who has associations, friendships, and interests that cross countless geographic and socioeconomic boundaries.
I think the truth is actually that we are MUCH less unique than we would like to believe, and that some combination of age + gender + location probably predicts like 80% of our interests.