We already have warnings in one way or another for: expired SSL certificates, lack of HTTPS, potential malware sites, if your account may have been breached (at least in Firefox), requests for your location or to show notifications, etc.
The next logical step is to have our user agent warn us about sites that have bad reputation for protecting your data.
I use the DuckDuckGo Privacy Essentials, which gives a letter grade based off of the trackers used and terms of service analysis from tosdr.org, in your browser toolbar. You can get it from here:
https://chrome.google.com/webstore/detail/duckduckgo-privacy...
https://addons.mozilla.org/en-US/firefox/addon/duckduckgo-fo...