My tune would obviously change if that data were used in more malicious ways. But as long as it is advertising targets, I personally don't care.
The one that springs to my mind right now is: Knowledge is power; which is also true in that case: the more an entity knows about you, the more power it has over you. And not only blackmail, but recent hints (AI-powered election meddlings, addictive user interfaces, etc.) have proven that your instinct can be, and will be used against you, whether you are conscious of it or not.
And of course, there are problems linked to physical security (if the wrong person can see you're spending a week abroad, your house might be broken into, or worse).
Let's not dwell on the ethics of financing a company that sells your personal data.
Private data is by definition not supposed to be made public, it is sensitive. Treat it like an attack surface: the more there is out there, the more likely it is that something can be used against you.
I don't consider myself to be paranoid, but I have never been willing to share details of my life with strangers. I recognize that any online activity is subject to surveillance, but I do what I can to minimize sharing that. There's a lot you can do along those lines, with really fairly minimal effort -- though I consider "minimal" to include not having a facebook account and not having any photos of myself on the internet, for example, which I know from having these conversations in the past is for many people some insurmountable hurdle.
Anyway, why would I want strangers to know the details of my personal preferences and tastes? There's no benefit to sharing it as far as I can tell. That is what has always stumped me when people say they don't care about their privacy.
Diamonds are not actually forever, but data is. There's little you can do to prevent Facebook from using the data you've already given them in malicious ways tomorrow. Throw in an economic crisis or major war and it's almost a certainty that they will do so due to desperation or legislation.
Once your data is collected, you have no control over it any more. Are you sure there's a valid retention policy, it is actually working and enforced, there are no secret agreements with e.g. the national security apparatus, and it is absolutely secure from malicious employees?
That is the big issue around data collection. Even if you're fine with it being collected now, you might not want a recording of this at a later point. For many different reasons. But a big one being that it's really easy to twist your words against you.
I might be biased because I run ad campaigns on FB and the data is helpful (more efficient than Snapchat or Twitter where they have less data on you).
Then there is the the combined effect of everyones data that is threatening.