There was that infamous case of a retailer figuring out someone was pregnant before they did based on what they were buying and mailing a customized flyer...to their dad's house. I don't remember the exact situation, but it probably wasn't the only incident.
That btw is an anecdote from the association mining community.
I spent a lot of time learning about association rule mining in my AI courses, including the implementation details of competing ways to mine them. The technique seems extremely useful and fascinating (I jury rigged it for on the fly league of legends champ recommendations to maximize calculated win rate change given limited information), but I almost never see it used in the real world or even see it talked about anymore.
I believe you're referring to a rumor (which may be true, I just mean it in the sense that it's out there and not something you or I have verified) about Target.