One worry I have is regarding poorly handled legislation hobbling national companies more than intended and driving consumers to worse options (as opposed to just preventing them from doing creepy things.) One of the prime examples here is search: if Google didn't keep a history of my search terms and/or other data about my account, the results they'd return would be far less personalized. I could (and do) use DuckDuckGo instead, but the search results are far less convenient (e.g. when I look up "compilation", DDG shows me literary compilations, Google shows me code-related things).
This in itself is fine, as long as either:
1. The drop in convenience isn't so high that people would prefer an alternative service
2. We can impose these rules worldwide.
If the drop in convenience isn't too bad, then even though there's a little more friction, there's not a mass exodus from these services. If we could impose these rules worldwide, that'd also make this an easy decision.
Given that the web is global, however, my biggest area of worry is that we squeeze all national companies to protect privacy, but it turns out the consumers really did like the personalized and convenient experiences and immediately switch over to Baidu or some other site that falls outside national jurisdiction and personalizes user experience well (presumably through even stronger privacy invasions).
tl;dr: I am cool with legislation, but given the global scale of the web we need to make sure we get the incentives/changes just right.