1. A method performed by one or more data processing apparatuses, comprising: receiving data indicating that a first user performed a conversion action in response to a first ad, wherein the received data includes an ad ID for the first ad and a first limited ID cookie that only identifies an encrypted user ID for the first user; decrypting the first limited ID cookie to obtain the user ID of the first user; creating a conversion record that includes the user ID for the first user an entity ID for an entity associated with the first ad, and the conversion action performed by the first user; receiving an ad request over a network from a client device of a second user, the ad request including a second limited ID cookie that only identifies an encrypted user ID for the second user; decrypting the second limited ID cookie to obtain the user ID of the second user; determining that the second user is a social contact of the first user in a social network based on the user ID of the second user and the user ID of the first user; in response to receiving the ad request, selecting a second ad with an ad ID; determining, based on the ad ID of the second ad, that the second ad is associated with a same entity as the first ad that is associated with the conversion action performed by the first user; retrieving conversion records containing the entity ID for the same entity, wherein the retrieved conversion records include at least the created conversion record; constructing a detailed annotation for display in the second ad based on the created conversion record that contains the user ID for the first user, wherein the detailed annotation identifies (i) the user ID of the first user, (ii) the conversion action performed by the first user, and (iii) the same entity; and sending the detailed annotation over the network to the client device in a format suitable for presentation on a display of the client device in conjunction with the selected ad.