Why is this stuff important?
Surveilling people's lives has never been easier at any point in human history. Now any company or person with enough money can use readily available technology that comes with experts in their use. These technologies will sniff through your entire life online. You can be sorted into a wide array of granular categories for quite literally any purpose.
Are you an introvert or an extrovert? A fantasy book genre fan? Politically active? Gay? The companies that are paying to collect this typically don't care about the answer outside of the increased ability to sell you their product. The people who requisition or steal that data however absolutely do.
Examples across the world
Facebook scanning Facebook Messenger app
Huawei Uighur surveillance
Cambridge Analytica
Barriers to privacy/How is this used for "good"
Something that tends to get lost in articles like these is why there are so many proponents for increased internet surveillance. The answer also varies quite a bit but it can generally be sorted out into these categories:
Marketing: The ability to gain highly specific, highly relevant market data allows companies to find and create many new customers.
Elections: Elections are highly competitive especially in the highest levels. Knowing exactly which areas to focus your campaigning on for achieving the maximum votes is incredibly valuable.
Law Enforcement: There is some cross-over with the national security category but this has distinct qualities. Law enforcement agencies can benefit significantly from authorizations to track criminal activity on the internet. Above all else, human trafficking is the most touted justification by far across a range of countries for increased law enforcement surveillance capabilities.
National Security: Be it anti-terrorism, counter-intelligence, intelligence gathering, sabotage, and so much more, every state that can afford it has huge incentives to troll the internet for information.
Threat Modeling 101
Threat models are a useful way to think about problems when you don't know where to start. What is it that you are concerned about and how many resources are you willing to put towards addressing it? So let's work through this together.
Define the problem: What exactly is it that has you concerned? It is very important to be realistic here so you aren't making life harder on yourself. Most people are just contending with the marketing and elections categories defined above which is much easier to address. If you do not have a specific, well-reasoned, answer as to why a government would dedicate efforts to going after you, save yourself the paranoia and discomfort.
State your desired solution: The next step is to figure out what you would like to do about it. Don't worry too much about costs or technical difficulty at this point. The key here is to sketch out something that could work so you can refine it later. Something to remember is that maintaining true anonymity on the internet requires a great deal of effort and will severely degrade your ability to use information technology. For most people, just making the life of tech companies harder is a good enough solution to staunch the flow of information.
Define your resources: Now that you have a starting and ending point, it's time to figure out what you're willing to do to achieve the goal. Money is typically the smallest commitment for privacy. Instead, think about the time and patience required to maintain your solution.
Do resources meet solution requirements?: Are you willing to do some set-up each and every time you connect to the internet? Or is convenience king? There are costs and benefits to each direction. No matter what, you don't want to end up in a situation where you just start bypassing your own protections for convenience.
Adjust resources or solution requirements as needed: If you find that there's a mismatch, it's time to make hard choices. It is somewhere between pointless and dangerous to enact a plan that you can't afford. Especially if there are high stakes to your anonymous usage of the internet, it is critical that what you've picked actually works consistently.
Implement plan and evaluate for effectiveness: Use websites like those linked below to find out how well your privacy plan works in action. The bare minimum of success should be that you cannot be easily tracked by companies. You will see mentions of unique fingerprints. Those are significantly more difficult to deal and as such are out of scope for this particular article.