But if you, as a customer of those websites, agree to them knowing you are there, and they chose to share that with others, what right does the government have to prevent that?

Why is this not a 'just don't use the service if you don't like it' deal?

Credit bureaus are significantly different - you have literally no choice in that manner; Facebook isn't providing data to be used in that type of decision though. If some secret, 'I cant see it but they show my boss' data existed, and that was used when applying for a job or something, I could understand that perspective.

This, however, is no more than a guy standing outside a row of stores, taking notes during the day of what people go in what stores, and how big their bags are when they come out. Is that illegal in Europe as well?

Edit because I can't seem to reply to comments below: That's fascinating. If even that sort of behavior is illegal in Europe, it makes the outcry against what Facebook is doing make more sense.