There are a lot of ways how to identify who you are, here are some of them:
- get information about user from HTTP headers (not reliable, can be modified);
- detect browser by CSS/JS specifics by using hacks;
- by detecting and using plugins;
- possibly other methods I forgot;
As a proof of all above, you can check Metasploit Decloaking Engine: http://decloak.net/. Some basic information and further links you can get here: http://0x416d73.name/ws and this one: http://panopticlick.eff.org/. Also, a lot of information you can get by Googling "browser sniffing".
It is important for yourself to understand which level of anonymity you want to get. This is relied upon other question - why do you need it? I believe that it is nearly impossible to hide yourself in internet, at least, if you are connecting from your PC.