They sell which apps are installed on your phone and how often you use each [1], they sell your credit card transactions [2], they sell your emails [3], they sell your web browsing activity (jumpshot on this list) [4], and they sell your precise timestampped locations [5].
Senators are trying to get Yodlee investigated by the FTC [6] and they sell data to numerous companies. Second Measure's (YC S15) entire business model is cleaning up and reselling Yodlee's data.
[1] https://alternativedata.org/data-providers//category,app-usa...
[2] https://alternativedata.org/data-providers//category,credit-...
[3] https://alternativedata.org/data-providers//category,email-c...
[4] https://alternativedata.org/data-providers//category,web-tra...
[5] https://alternativedata.org/data-providers//category,geo-loc...
[6] https://thehill.com/policy/technology/478766-lawmakers-call-...