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Can I be penalized by search engines for doing this? I know that page titles are the most important thing for search engines.
changes dynamically depending where the user is coming from
I take it you're using the HTTP_REFERER pre-defined variable to make the title changes if your url isnt changing?
If so, robots tend not to set that variable so they will tend to index the title you have set as default.
<added> some spiders do set the referer tho, AV was one notable robot that used to do it often</added>