Serious follow-up: I've always been fairly apathetic towards companies tracking me because I don't see too many plausible situations that would end up truly affecting me negatively. Do you have any examples (preferably that have happened in the past, but hypothetical are okay too) of what can go wrong if the tracking information falls in the wrong hands? Sure, street addresses, SSN's, credit card numbers would be bad, but why should I care if someone finds out that I'm a male aged 24 interested in backpacking, Apple products, and programming?
I think you have to break it down a little. There is potential harm to you individually, further broken down by "legitimate" parties with access to the information, and then problems where that big pile of data tempts hackers to steal it. For the latter, think of the time and location history of your children gleaned from photo location data (or the location data of their cell phones). Or just patterns that indicate when you're on vacation.
For the former, I agree it's a little hard to find realistic examples that don't involve having something to hide (but if you do, those are easy: porn history, extramarital affairs, time spent goofing off on various websites, surprise gifts, pregnancy, financial problems, stalkers, ...) Still, do you close the door when you take a shower? Do you sing in public? Do you disclose your salary in casual conversation? Those might seem silly, since the discomfort there mostly hinges on fully public disclosure, but the data are getting shared so widely now that it's getting easier and easier for the data to escape to places where they can be pulled up by someone who is bothered by your NextDoor post.
The other main category is the problems with massive numbers of other people's data being available to these companies. Those are more societal effects, like segmenting the population, radicalizing us, and setting us against each other. Outrage culture. Hyperpartisanship. Phishing. Vulnerability to external trolls/griefers/fake news publishers. Functionality being lost because it's overloaded by targeted spam. Harassment of minority groups (heck, you only need preferred language for some of that, though purchase history would reveal a lot more.)
Hypothetical: individual pricing based on how likely you are to pay more for an item, or how badly they think you need it. Sharing of data across domains could place you in a "bubble" where you see the same price no matter where you look.
That's exactly what a lot of airline websites do. If you're an active user of one try firing up a clean instance of different browser and it's very likely you'll see a different price.
For products that can benefit from information asymmetry[1] fingerprints are an amazing tool.
You like Apple products and therefore you are a premium category customer. Dynamic pricing shown to you on websites will reflect that. Depending on the A/B rules in place you are paying a decent premium over someone with cheapo Android phone and looking for jobs in custodian services.
If you think that is fair then I have a lovely Harbour Bridge in Sydney that I think I get you a great deal on.
I'll give the example I usually give in this debate:
In Netherlands, prior to World War 2, they made a "comprehensive population registration system for administrative and statistical purposes", which included the ethnicity. As a result, the Netherlands had one of the highest death rates among Jews. (I can't find a good source for this though, unfortunately)
