Incognito mode helps you to keep your browsing private from other users of the same device - it doesn't help much against sites, internet service providers, government, etc. Cookies is just one tool that those parties use against you, and they can easily track you without it. You've covered topics like VPN and ToR, but there's another set of tools that increases privacy - browser extensions. Extensions like Canvas Blocker, Privacy Badger, NoScript help you disable many of the tracking done by websites.