They appear to have nothing on me... Only feature on the page is the Opt Out button. Have I missed something?

No idea why they'd have nothing, I am signed in on Google services all the time.

Are you worried that Google knows nothing about you? :)

If Google doesn't know about you, do you really exist?

I was wondering this morning why I had a facebook ad about a music band that I started listening a few weeks ago ONLY at work and ONLY on grooveshark. The band is not that famous to appear randomly in my facebook account so I wonder if this can be linked!

You can also find : http://www.networkadvertising.org/managing/opt_out.asp

Well if you check Facebook at work and go to Grooveshark, they can track you. I think they might even be able to gather some info if you logged out of Facebook but I'm only partially sure of that.