This should serve as a good reminder to not surf while logged into websites that may contain important personal information or that could cause personal damage if compromised.
I'd say it's not a reminder for many; it's news. I've always been very careful with my info on Facebook, but I never considered how easily they could invade my privacy when I'm not even on their site.
Or you could simply turn off accept 3rd party cookies and never ever use facebook connect.
I don't have any applications added when I visit the sites listed here, and this happens whether I have third party cookies blocked or accepted. There may be something else my system is doing to block this behaviour, or it may be a feature only rolled out to some users.