(Disclosure: I work on ads at Google, speaking only for myself)
As a (sometimes) "consumer", I personally don't mind companies I'm doing business with gathering some data to better serve me as a customer. It's actually kinda their job. And I don't even mind when they advertise related products/services at me (but not the product/service I just bought please). And I don't mind one little bit bein' advertised at (respectfully) when I'm on a site where I'm obviously lookin' to buy something. My main problem is that too often there's a degree of uncomfortable overreach with building (and worse yet, sharing around) a detailed profile of my travels on the web that is beyond unnecessary and unreasonable. I don't honestly trust most personal friends with as much information about me as some freakin' advertisers would seem to want to database and index about me. It's gotten honestly out of control, and I don't know what else to do anymore except use every tool my browser has available to block as much of it as I can actively.
Companies like Google and Facebook already leak.
Proof: start an ad campaign on e.g. Facebook targeted at people who have trait X, but sell a product Y not related to X. For people who click on the ad and buy your product Y, you now know they have trait X. And you can now also link that to their address info.