What's with all this "sign up with Facebook" I'm seeing?

For one thing, the app developers are able to use Facebook's ad network and share ad revenue. I would guess the other benefits would include people indiscriminately accepting all of the app's requested permissions on facebook and polluting their own news feed with free advertising for the app.

It takes the burden of handling authentication and security off the site and puts it on facebook. It removes the burden on the user of taking the time to fill out yet another signup form and remembering yet another password, which increases registrations. And of course Facebook gets more user interaction.

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To help do away with anonymity?

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Facebook would like that, sure, though I believe they do provide an anonymous login if the site wants to use it. Facebook might even ask what you want to share with the site, if anything, regardless.

Having a single online identity solves a lot of problems: no need to remember dozens of passwords, you won't have personal info scattered across dozens of sites, signing up to new sites takes minimal effort. If your only hangup is loss of anonymity, there is nothing stopping you from creating multiple accounts. One for the real you, one for "anonymous you", etc. It's still better to trust authentication to those who are good at it, rather than to some jackleg who built a random website. The site never sees your password; it just asks facebook (or google, or whichever auth provider they use) if you are you, and facebook says yes or no. The site that you may or may not trust never has to see your email or password, and that's a good thing.