The people that score the best on games are the ones not playing them.
And plenty of games are games of skill and not a good way to measure anything other than their reaction speed to visual stimuli.
When playing such games, I used to save, try various alternatives, and go with the one I liked best in retrospect. When I encountered a game that didn't allow for saving, I was quite bothered and worried about the game "calling home".
These days, I mostly wouldn't worry. A lot of kids slaughtered cities in fallout 2, or accepted quests from all sides so they could get in everywhere and steal the silverware. Few meaningful inferences could be made.
But the meaningless stuff, like red vs. yellow stimpacks? Doing market research with games? That might be worrisome, depending on your feelings about adwords.