Imagine a (magical) computer program that could store every action taken by every individual throughout their entire lifetime. It would record information about what they bought, what they ate, who they talked to, what they said, various bioinformation like heart rate, cholesterol levels, etc.
Now imagine that this computer stores all this information with a series of tags, and the tags have their own meta-tags, so that information can be pulled out of this database with high efficiencies and assembled into useful charts, graphs, and patterns.
From the database, we could then find hidden relationships. We could look for where things cluster, such as seeing that people who eat a specific type of canned soup have a 20% higher incidence of cancer. We could track epidemics in real-time. More importantly, we could track the epidemics that people aren't really interested in self-disclosing (STDs, obesity, addiction). There would be sociological implications too, as we could see correlations in the data that would tell us the causes (or impacts) of things like abusive husbands, suicides, or even successful marriages. And of course there would be numerous commercial applications, such as finding out how effective advertising really is, tailoring products to specific demographics, fine tuning production to be more in line with consumption.
Right now, billions of dollars are spent on analysis every year. Focus groups are formed, surveys are given out, and the real world is studied as closely as possible. This magical computer system would eliminate all of that. Here's the thing; corporations are already doing their best to study trends. So is the medical community. So is the government. The benefits of trend analysis are immense. It's only recently that computers have made dynamic trend analysis a real possibility; it used to a series of single studies was performed to determined specific things. Now? We can take reams of data and crunch it in all sorts of interesting ways.
The problem for our theoretical magic computer is twofold. The first problem is that people don't want to give up information about themselves. This is understandable really, because people sometimes do things that are illegal, stupid, or socially unacceptable (sometimes all three at once!). But so long as it can be guaranteed that this information isn't going to be available to the people around you, we've eliminated the last two concerns.
It's that first concern, the "illegal" things, that we have the biggest problem on. Here we come to a basic problem with the law; sometimes laws are made that people don't follow. Jaywalking is the classic example. We also know that there's a general rule that you can go five miles above the speed limit. And nearly everyone I know has at least dabbled in file sharing. So either these laws need to change, or people need to not be prosecuted for these minor infractions (which is what happens now).
The second problem is that most major organizations hold their information as proprietary. Technically this isn't really a problem when we have a computer run on magic, but in reality there needs to be a company (or government) behind the computer. Google already stores every search that you type in, along with all of your mail if you use Gmail, and all of your documents if you use Google Docs, and that holds true for every service that they offer. They use this information to data mine and better advertise to you. But do they share this information with any other company? Of course not.
There's no sense giving your competitor an edge. Unless, of course, you can trade the advantages you have so that both you and your competitor increase profits, which is exactly what would happen if data sharing went on.
But let's track back to you, the consumer, the citizen, the person who cares about privacy. There are reasons for privacy beyond those of "getting caught". For some, it's a matter of not trusting that any big organization is going to be looking out for your interests. That's a valid concern, but it's my belief that the goals of the government and the people are in alignment most of the time. If not, the cost of fucking with the individual needs to be high (in the form of boycotting, protest, or homegrown terrorism if it comes to that). For others, it's a matter of some vague philosophical notion of a private space, to which I say that the benefits to humanity are too great to ignore. Besides that, already happening.
Of course, my opinion might have its basis in my love of data analysis, which borders on fanatical.