Knowledge is power and in this day and age, it's a lot easier for companies in IT to aquire it. Google probably knows more about you than your own mother, considering they can read your private emails anytime, even without a warrant. Users have reported seeing pet ads in Gmail after searching for pet care on Google. You're willing hand over your entire life's history to Facebook. We live in a society where we must post selfies for everything, even murder. We find out there are ways to save snapchats if there is reason to. There's also the infamous Edward Snowden leaks at the NSA which proves the government is behind a lot of this data collection.
So yeah, even big companies are losing your data.
However today, privacy has won a small battle. The Commission Nationale de l'Informatique et des Libertés (CNIL) has deemed that Windows 10 is collecting too much data on unsuspecting users. Remember, there's legal, "legal", and reality. You are responsible for your data, so always encrypt anything that would cause good problems if it got out in public.
Read more about this ruling at: http://www.reuters.com/article/us-dataprotection-microsoft-france-idUSKCN10029C