You don't just socialize on Facebook. I listen to music on Spotify (tied up with Facebook), I read articles people post on Facebook, and most importantly, I visit hundreds of web pages with Facebook "Like" buttons which Facebook can use to build a profile of what I'm like even when I'm not on their site.

What are you doing when you're at a baseball game?

And yet there are plenty of ads there. Why? How do they work?

Mostly brand awareness, which is famously inefficient and only works for products with extremely wide mass appeal, like Coke.