This would be lovely, and not technically unfeasible. We already have the right consumer touch to display this data in a contextually clear (but not obtrusive way) — the DAA AboutAds icon.
Clicking the icon today shows the ad-tech partner that helped deliver the targeted ad (as you mention, not that helpful given that the consumer doesn’t have a relationship with RockeFuel, they have a relationship with Macy’s).
In a better world, clicking the icon would also show the targeting criteria that led to that specific ad being displayed, giving the consumer a better idea of how his/her online activity influences the profiles these data brokers build.
tl/dr — this is a good idea, I support it.