Know what data was used to target this ad. Why did I see it? Which data providers and why —provider identities and human-readable reasons please! (Eg “Anon user purchased ‘Colored Socks’ assortment. User provided email address (see) at Macy’s checkout Palo Alto, CA on 3/16/14. No other data appends. Facebook Custom Audiences uploaded 7/30/15"). Indicate if my data was used anonymous or tied to any identifier, which I can also see.
What Consumers Deserve From Digital Ads
Rob Leathern

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.