ASM826 is doing a great job on how the authorities use your cell phone location data to track you. E.M. Smith wrote about burner phones (among other things; go read if you already haven't). Here are some other personal technologies that collect all sorts of data on you.
Cell Phone apps, particularly Facebook and Google apps. These companies are notorious about accessing all sorts of data that they really have no business grabbing (like location data). Apple just changed the rules about what apps have to disclose about this to you. Interestingly, Google hasn't updated their apps to do this, even after a month.
Alexa, Google Home, and other voice-activated devices. Don't ever let any of these into your house. I mean, stop and think about it: they have to send all your voice recordings to the cloud for analysis. How else will they know that you said "Alexa, am I a lazy bum?" You have no control over what they do with that data and there is evidence that they save this.
OnStar and other online car services. Combine all the security nightmares of Alexa with all the security nightmares of your cell phone, and then add in the ability of the service to shut down your car. What could possibly go wrong, amirite?
Ring doorbells (and competitors). Miguel just posted about this so that I don't have to. The local Po Po have access to all the video, for all time.
Internal cameras. I mean, you're kidding me, right? In the link above Miguel talks about a decent approach to cameras when you're away, but while you're there?
"Smart" TVs. I've posted a bunch here about the sewer that is "Smart" TV security. Don't turn this on.
I'll gather my thoughts and put together a Best Practice for personal privacy.