In some places, following a person around and building up a dossier on them is considered stalking and is illegal.
True, but I'm talking about the data collected specifically. Not all of it is gained from tracking users across the internet - lots of it is just building a profile based on what you do on their site, and potentially their partners' sites. That data doesn't seem to me to be owned by the users. But I totally agree that what is an obvious problem is the following of users around the web.
I don't understand why this should be considered true. If I had a business and I jotted down in a notebook how rich I guessed each customer was as they walked in, based on things like what they're wearing and what they bought, and then used that to determine how rich I thought my average customer was, why would that information belong to anyone else but me?