I have various Garmins (Forerunner 405 for running and Edge 705 for cycling). None of my data goes to Garmin as I just use Garmin Training Centre and don't upload anything to Garmin Connect.
Much as I dislike Garmin's lack of support for Linux, I have to second this. My Forerunner 405, eTrex Vista and Vista HCx all download to my computer, with the option (not forced) of uploading. I have full access to .GPX files that I can use with any number of pieces of software (including Google Earth and Maps). Also, I've been pretty happy with the Zephyr HxM hooked up to my N900, and the wife has a Zephyr as well that works well with a Samsung Galaxy III and Google tracks.
It case you haven't come across it I have found that garmintools and pytrainer work very well with my forerunner 305. I have never used anything else.
Just wait until a large health insurance company breaks into your house at night and installs cameras - they will have your data.