As we all know, Google's content display network, as well as many other successful setups rely on delivering targeted adverts to users to increase the chances of adverts falling in front of the desired audience.

I can't quote or link to any specific examples, but I've read many, many, many complaints from users online that keep seeing adverts for things they've searched for.

From a user experience point of view, what is the reason for this? Common sense surely dictates that someone that searches for "buy baseball bats online" might have an interest in buying a baseball bat online - and to an extent, other products relating to baseball. Surely it's a good thing that they see adverts relevant to their interests?

Why would seeing adverts for baseball goods/products not be desired over something completely random like movie rental or new dishwashers?

Edit:

Given that this question has become quite popular, I'd just like to point out (for the record!), that I don't enjoy my browsing experience being disrupted by adverts either; in fact, most of the time I do not even notice them (or when I do, depending on the advert it can give me a negative impression of the brand in question).