Gradually, this notion became slowly dispelled when stores actually started leveraging this information to provide, for example, suggestions. It's all fine and good here.
Finally came targeted ads. The part that people find terrifying is when the suggestions are "following them around!". This is creepy in multiple aspects:
The first is that people don't quite understand how this happens (of course, we do). How is this information showing up in different websites? Did the store just let these other sites handle my information? In their eyes, the boundaries for who is allowed to my personal information seem to blur. This also breaks the paradigm of location that the user has in their mind. "If I don't go to site X that is, I won't see anything about site X." It looks like everyone knows everything.
The second is that it's creepy-through-analogy. The fact that it's going wherever you're going and nagging you constantly is weird. When I walk into a retail store, I'm usually asked if I want any help, and I decline politely. If, however, the salesperson keeps approaching me and trying to sell me things that I don't want, I get the fuck out. With targeted ads, the average user can't do that! The creepy sales guy is following you out to the street and into your home. This usually ends in extreme frustration.
Finally, there are also some nuances that targeted ads miss. Targeted adds are actually not that targeted, they're just there to grab at the "low hanging fruit" customers that are on the verge of making a decision. Just because I looked at a dildo once because I thought it was funny doesn't mean I want to be bombarded with the world's finest penis emulators for the next 3 days.
I do actually care but those statements were not a reflection of my cares, it was of theirs. While this is not equivalent to a comprehensive study of average computer using people across the world, they sure as heck cared but didn't even begin to know where to start, in contrast to what you are hoping will happen.
Can someone please explain to me why ads for stuff I might actually be willing to buy (as opposed to hyper-annoying junk thrown at me every day) terrify so many people?
Not that I am ambivalent to privacy issues; just playing devil's advocate here.