Your search provider knows what you're looking for.
Your ISP knows what sites you visit. If you use an anonymizer, then your ISP knows as much and the anon service at some level knows what you're doing.
Your cell phone provider knows where you are by proxy whenever you keep your cell with you & turned on.
Your phone service providers know who you call and who calls you, for how long, and how often (the original electronic social network, only hidden). If they record the data they can even analyze the conversations.
Your cable/satellite provider knows what you watch on TV.
TiVo or other DVR service knows what you DVR and potentially knows what commercials you've skipped.
Your grocery store knows what you eat as well as brand preferences if you use a customer "loyalty" card.
Same applies to any store card (pharmacy, bookstore, pet products, etc.).
Same applies to an e-tailer but they don't need the card. Amazon is rather infamous for using this data to produce recommendations.
Your car shop knows how much you drive per year (although their data tends to be less accurate; for some reason they make assumptions v. extrapolating against existing data).
Your credit card companies know what you buy and what your store preferences are.
Your federal, state, and local governments keep data on you and that data is generally public record. Companies are aquiring it.
Way, way too many companies, for instance your car insurer, know your credit rating.
Most of this information is aggregated in large databases that are for sale. The databases are merging and data providers aggregate what they can get to build profiles of individuals and households. Companies like
Acxiom will sell search results with specific criteria to marketers. For instance, take a car dealership's zip code, add surrounding zips within 25 miles, and search for people who have cars that are over 6 years old, have $75K+ annual household income, have at least one teenage child, and prefer near-luxury brands. From that criteria a list of households is generated that can be used for targeted marketing.
Privacy as I would have it no longer exists in the US; on the macro level I agree with Merc that I'm just one of many. But on the micro level I realize what you say can and will be used against you so I minimize what I reveal.
I minimize the personal information that I divulge in public, especially on the 'net where it can be considered to live forever and be available for potential employers, insurers, etc. to review prior to entering an agreement with me. My ISP, through a traffic analysis, could easily know that Fushigi is actually me. They may already have a list of handles that I use at various sites. Tie that together with other databases and my profile becomes even more complete and potentially more interesting to my (potential/actual) employer, insurer, girlfriend, etc.
dd, while you've been off the grid, you haven't been off the grid. You've just been minimizing and taking advantage of the government being notoriously bad at utilizing the data available to them.
Lots of this data can be minimized or deflected. Lying or misdirecting, for instance, can effectiviely anonymize some data. Paying cash reduces the transactional, retailer, and product preference data. Use a pre-paid phone bought with cash to eliminate cell records. Change it out every once in a while otherwise positional data will reveal it lives at your house. Don't use a landline, cable, or satellite. Use TOR or other 'net anonymizers. Borrow loyalty cards from friends/neighbors (they're generally happy to have you generate "points" for them). Change service shops for your car, do repairs yourself, or more radical, change your car frequently. Move regularly.
Of course, having too little data is bad as well. My nephew, while in college, worked hard and saved over $6K in cash to use to buy a car. He only had to finance about a grand on the purchase price (used car) but couldn't get it because he had no real credit rating. The fact that he was a student with good grades, had a job, and could easily make payments was immaterial. Luckily my brother was with him & loaned him the rest but it was disturbing that someone with obvious means was turned down while many of dubious means can get credit even though their rating is poor.