If you ever need to return something they are entitled to your ID which has your entire address anyway.

Says who?

Or here's another scenario, which actually happened to me:

I bought office supplies and one of the items bought was accidentally scanned twice.

I noticed this after paying, but immediately complained.

In order to refund my money for her mistake she insisted I provide my name and address.

I lied. I very obviously wrote a non existing person at a non existing address on the form she insisted I fill.

Do you think I was unjustified to lie in such a situation?

  Your state DMV sells your info to corporations for pennies, in fact sometimes under law it's required to.

Not in Europe, they don't. In fact: This would be illegal, if not actually criminal.