Third-party data leaks are a serious privacy issue in the web environment. Personal data leaks to third parties have been studied widely in many case studies covering several different application areas. While these studies show the extent of such privacy violations, the actual mechanisms that allow this phenomenon to occur, the nature of leaking data items, and the factors that make these data leaks serious are often not analyzed comprehensively. In this paper, we aim to fill this gap by presenting an in-depth analysis of the nature of third-party data leaks, the data items that are usually leaked, and the reasons that make these leaks highly problematic. We combine data from research literature and technical documentations to present a comprehensive inquiry into this technological phenomenon.