We've picked the low hanging fruit of clever applications of the data analysis of 'the general population' to recommend us better movies, better things to purchase, search engines adapted to our tastes, and so on.
The absence of privacy is an absence of a safe mind. I grew up enjoying privacy on the internet (or the illusion of) because I was able to learn who I was, and I was able to have my own voice and my own opinions. When my mind became convinced that that was only an illusion, it mentally crippled me. I wasn't able to follow thought paths I deemed unsafe. The definition of unsafe comes from a collection of reasoning (or rationalization) that is mostly irrational - being that it is contextually formed without careful analysis and methodical direction. When one feels like every machine is stalking them, and can eventually be connected back to a person who can make a judgement on that individual's life path without the awareness and consent of the individual, I think we've made a big mistake as an intelligent species.