I found this article, which is about the grocery store Kroger's use of loyalty card data, by clicking through an Instapundit link. The link is presented without comment, but I wonder if Glenn Reynolds (Instapundit himself) linked to it because he was interested in the privacy ramifications of Kroger's practices. It seems like his kind of thing.
As for me, I'd prefer that the government leave me alone as much as possible, but I have absolutely no problem at all with private businesses mining my data, especially when they reward me in the form of discounts.
It's not much of a stretch to connect loyalty card privacy concerns with Facebook, either. Both are private organizations that people opt into. Did I find it annoying when FB restructured my "likes" and made me redo my privacy settings ten times? Yes, yes I did. But not so much that I stopped using the site. Giving up that degree of privacy is worth it to me because it allows me to see what my high school and college friends are doing every single second and because I like looking at other people's vacation photos.
More than anything, reading that article made me want to contact Kroger's research firm to see if I can freelance for them. Because...who wouldn't want to know more about how Americans do their grocery shopping? Seriously - I bet there is some cool, cool stuff in that data.
My point, then? It's twofold: a) what Kroger's doing is not that big of a deal to start with, and b) if you don't like it, stop complaining. Just opt out.