Update: Apple has now released iTunes 6.0.2 that asks your permission before switching the Ministore feature on. We recommend updating your iTunes, and keeping the Ministore off, if you are concerned about your privacy.
Yup, you "heard" that right; especially if you have installed the 10th January update of iTunes.
The new version includes a feature called "Ministore" that recommends tracks to buy similar to the one you are listening to, even if they weren't bought online in the first place; obviously by sending data about the song & unique identifiers for the computer and the iTunes account, which is a serious privacy issue.
Though it's unlikely there will be an update to reverse the process, switching off the "Ministore", does make sure that you are the only one listening. Apple has posted the same on it's Website as well.