DieRuhe: Privacy is only privacy until someone in the government decides they need your information. :-)
That is actually (at least in Europe/Germany) quite different. Different data pools are stored and handled seperate and very, very few people have access to multiple pools. If cross referencing is done in terrorism, it needs judical approval and supervision and only the results are seen by the police/state security.
I don't know the situation in the US, but considering that you don't even have a centralized gun registry, I don't think it is much different. But I know that other, "less democratic" countries handle this differently.
The biggest data miners are those "payback points" or whatever they are called. Most infactions of privacy are given willingly by people, because they hope to gain a few bucks in savings. And Facebook of course. But that can be easily adjusted.
Without looking into the PP statements of stores operating in the EU,I'm pretty sure they only give away anonymised data collections and no names. Eg. Steam collect the data on gaming habits as in "a person that buy FPS is usually XX years old, plays for 2 hours a day, 6 on the weekends and is know to buy games outside his/her comfort zone when they are below 10$."
Nothing to worry about, imo.