I just installed Ghostery on my browser, and when accessing any random page, I see a lot of advertising trackers that, however, don't appear in the page's source code.
For example, let's take http://www.latimes.com: according to Ghostery, one of the ad trackers it loads is by AppNexus, and the URLs it shows are of the form http://secure.adnxs.com. And yet, if I do "view source", I don't see that URL anywhere in the page. At least in the case of Google and Doubleclick's trackers, I can find them in the source (and conversely, when I read the page, all the ads I see come from Google/Doubleclick).
(I know about real time bidding, supply side platforms and so on, at least in theory. I'm just trying to understand how it all works, using this practical example).