The issue for me is that you don't have any way to know who is doing what. When you go to a site do you know what they track? what they do with the data who is it shared with? If sites would tell you these things in simple terms you can make an informed decision.
What if your auto insurance company found that people who like science fiction and remote control helicopters are more of a risk and should be charged a higher premium? That type of thing is already happening by companies looking at data.
I'm not really paranoid, I just want full disclosure so I can make informed decisions.