The other thing I'd add to this discussion is the question of what you're sharing with whom. The who of it all matters a great deal. Amazon collects a lot of data about my purchase history, for instance, and while the ramifications make me somewhat uncomfortable, I accept them. It's part of the shopping experience, and it's part of Amazon's business model. But take that purchase history out of context, and put it in the hands of someone looking for a very different set of inferences about me. A healthcare provider, for example, who can make startlingly precise inferences about my lifestyle and my likely state of health from my Amazon purchases. This scenario seems farfetched today. And I trust Amazon to be a reasonable steward of my information, and to maintain some sanctity over the context in which it's aggregated and analyzed. But I'm scattering plenty more breadcrumbs around the internet in my digital travels. I can only imagine the novel and ingenious ways they'll be used in the future -- for me, hopefully, but just as easily against me. It all depends on who's looking at my data, and for what purposes. Those people, and those purposes, might be very far removed from the people and purposes I'd originally envisioned when I'd shared my data. In most cases I can't really control that. That's what scares me.
Data context matters a great deal. So does the presumed aggregator of the data, and so do the presumed consumer(s) of that aggregation.
I think it's important to make this point to the general public, because the typical bogeymen (the NSA, Google, Facebook, etc.) don't really mean much to most people. When you conjure up the NSA, your average layperson will shrug and say "I have nothing to hide from them." Just mentioning the NSA brings up a fantastical frame of reference: a frame involving terrorists, leaks, Jack Bauer, and Edward Snowden. Most people, in that frame of reference, find it so far removed from their daily lives as to be almost comical. This breeds apathy. That apathy gets you the shrug and the dismissal. But conjure up a different frame of reference -- being denied health coverage because of purchase histories, or being turned down for a job because of image searches -- and people seem to get the idea.
We need to do a better job educating people about a) closer-to-home implications of privacy erosion, and b) examples of data, seemingly mundane, that can be aggregated to powerful effect. Yes, the big stuff matters. We should be making a big fuss about the NSA. But that's not the rhetorical starting point that's going to get Joe Sixpack to care. In some cases, it might even be counterproductive.