Worse, say a gay club near you was attacked by someone who made an explosive device using a pressure cooker. Your interest in those things (actual or as determined by advertisers) could cause you to be a suspect and/or arrested.

The problem with accepting being under constant surveillance to make advertisers money is that the data is never just used for ads and even if you never show your phone to another living soul that data never goes away and can end up in the hands of just about anybody.