No, there's no general right-to-data law. There are general right-to-government-data laws, so you can e.g. request your own FBI record. But private businesses don't normally have to disclose what data they collect on you. There are a few exceptions for specific areas; for example, the credit-ratings agencies have to provide you with a copy of your credit report, and in some cases an employer may be required to provide you with a copy of certain personnel records. But they apply to fairly limited situations.