When you ask someone whether they want their search results or ads to reflect their browse and search history they say no but when presented with the two options, users nearly always select the personalized version.

Remarketing works. It's not what people say, it's what they do.

And why shouldn't it be that way. I go to a local Peet's. They know my order now. Is that bad? Should I tell the barista to wipe my order history out of her memory?

I'm not saying there isn't a issue of privacy but the line is not where most think it is IMO. People are very willing to give out personal information in exchange for a chance to win a car in the local mall.

Taken in another direction: product. Users often don't express their real needs or can't identify them. One of the more interesting cases was the introduction of the mini-van. It tested miserably when they asked users. But Ford (I think it was Ford) decided to go ahead anyway and ... users wound up LOVING it.