In particular, it's creepy if someone knows something about you and you don't know why.

So if you don't want data mining to be creepy, you have two options:

a) Explain why you know something.

b) Wait until data mining is so commonplace that people take it for granted, and standards of etiquette shift.

One issue is that from an end users perspective it makes it obvious how much information is being captured about them. While most people are aware that their information is being captured, seeing it plastered all over their facebook feed makes them confront it.

Worse than that are the questions that come with these ads - "Why am I seeing ads for baldness cures?" Is it because I'm a 30+ male, or is it because they have analysed photos I'm tagged in and detected my thinning hair? Sometimes it just feels mean!

This is primarily a challenge of data science working in a marketing environment and doesn't really permeate through all areas of data science, however it is the form of data science that is most visible. Therefore much of data science and the big data we work with gets lumped in with sleazy marketing.