Safari and Google Chrome can both do this. Safari should be doing it though the Macs Notification Center, where I know Google Chrome does not. So I would start with that, if you use Chrome that is.
Open the Chrome settings and search for Notifications. It is hidden as a sub-setting, in Content Settings (Or something like that, I not using my Mac on English)
The actual setting has a little bell icon.
For Safari, open the menu "Safari" and click Preferences (Or Settings, I forget what it is in English), then choose the tab "Websites" (Has a blue globe icon). Then click Notifications, it is near the bottom of the list on the left.
Here you can remove the sites that are sending you notifications, and disable the feature all together.