I think you have to remember that many of these parties will only have a snapshot of you. I think it is fine that Amazon knows what you buy on Amazon - if it knows other things, that when you need to worry!
"Governments routinely watch all internet traffic...Should this worry us?"
Yes, probably.
"Does it make you feel safer?"
No, and apparently I am the one doing the watching!
GCHQ and similar agencies around the world use software to analyse telephone, radio and internet traffic. They also ban the use of any encryption system that has not been registered with them together with the key. Scary stuff.
I don`t mind being watched. I`m not doing anything very exciting anyway.
I would be less inclined to be comfortable belonging to something like Facebook and knowing that they own my profile and can do what they like with it.
Still makes me laugh the U2 released an album called how to dismantle an atomic bomb just to annoy all the government agencies that use software to check for key words an phrases on the internet :)
Facebook is probably the worst for data gathering - it's an octopus, getting its tentacles all through the internet. can you feel anything squirming out of your keyboard?