For Threads, the following may be "collected and linked to your identity":
Health & Fitness
Purchases
Financial info
Location
Contact info
Contacts
User content
Search history
Browsing history
Identifiers
Usage data
Sensitive Info - whatever the hell that is [1]
Diagnostics
And my favorite, "other data" I.e. it collects so much we don't even have a category for it
[1] Apple's definition includes: racial/ethnic data, sexual orientation, pregnancy or childbirth information, disability, religious or philosophical beliefs, trade union membership, political opinion, genetic information, or biometric data
I'm sure there's a valid reason for all this...