I did. Anyone else look closely at the URL in the e-mail? The first listing I was directed to:
http://cts.vresp.com/c/?ProsperMarketplaceIn/ <= third party site!
be6178f4fb/58c20903c4/f07b0980c6/ <= I wonder which one of these identify me ?
listingID=293344& <= listing ID
utm_medium=email&utm_campaign=marketing_featured_listing&
utm_source=featured_listing_20080318_V1& <= date stamp and version number ?
utm_content=text_293344 <= listing ID again
maybe I have too much time on my hands 
john.
Prosper uses Vertical Response (www.verticalresponse.com) to send out their e-mail's like that. What you see there is a standard Vertical Response tracking link. I use Vertical Response to send out newsletters for several of my clients, so I'm pretty familiar with their service.
The link there doesn't track you specifically (AFIK), but it does track clicks in general (which is why it's going to vertical response's servers). The tracking stuff allows Prosper to log in and see how many people opened the e-mail, how many people clicked on the links, which links were clicked most frequently, etc. to gauge how effective their mailings are.
It's all pretty standard e-mail marketing stuff... no need to put on the tinfoil hat 
If that were the case I would expect my link to be identical to j9359's, but it is different. Here's mine:
http://cts.vresp.com/c/?ProsperMarketplaceIn/be6178f4fb/9f77934d91/f07b0980c6/
listingID=293344&
utm_medium=email&utm_campaign=marketing_featured_listing&
utm_source=featured_listing_20080318_V1&
utm_content=photo_293344
be6178f4fb is the same, so perhaps that identifies the mailing
f07b0980c6, the last of the three numbers, is different between each link in my email but matches the link an another member's email, so that's unlikely - it probably identifies which link is clicked
9f77934d91, the middle number, is the same in all links in my email. Hmmm.
Just because they don't give you the results of their data collection does not mean they are not collecting it.