Just a standard thing people put on websites to get visitor/etc. statistics.
If you have a website you can check it out for yourself- turning on Google Analytics mainly requires copypasting a little bit of JavaScript onto your own site.
There's some amount of data collection you can't really prevent- E.g., the location data WZ keeps (see flags on profiles) and whatever additional data it collects to try and detect alt accounts (per a semi-reliable source, this may be enough to identify your specific machine). But if this sort of stuff bothers you, you can at least prevent the most egregious things across most of the internet by using Privacy Badger and perhaps NoScript. Of course, for more meaningful anonymity, you'd have to take further steps like proxies but that comes with a bunch of trade-offs (most free proxies log your data themselves which is even more yikes).
Before posting, please proofread to ensure your post uses proper grammar and is free of spelling mistakes or typos. If you're asking a question about a specific game, please provide a link to that game in your post.
