A lot of people have an abstract idea that information is being collected, yes. I suspect that few people realize or know what the amount of information is, who has access to it, what purposes they use it for.
Does anyone remember that angry email they sent 5 years ago where they were criticizing their boss? Google does. What kind of profile can you build from thousands and thousands of such emails, messages and queries, and location data and pictures, videos, actions on social networks?
I think some companies have a better idea about who some people are than those people themselves.