Here's an interesting quote from Article 12 of the Universal Declaration of Human Rights adopted by the United Nations.
No one shall be subjected to arbitrary interference with his privacy, family, home or correspondence, nor to attacks upon his honour and reputation. Everyone has the right to the protection of the law against such interference or attacks.
Which of course is routinely ignored by many, many countries in the United Nations. Laws and mandates are even implemented that actually contradict this rights - usually in the name of catching terrorists.
Of course the important word that is used in this context is arbitrary, therefore the European Union can happily pass directives stating that anyone living in Europe will have all their web visits recorded by their ISP and kept for up to two years. But they will not arbitrarily look at this data unless they have a specific reason -hmmmmmm.
Then these same governments can arrange for all this data to be stored centrally on a massive database that is accessible to select agencies. This is not some sort of Big Brother conspiracy it is happening now, in many democratic countries across the world (the undemocratic ones have been monitoring and arresting people for years anyway)
The problem is that your internet connection is fundamentally insecure, the majority of communication happens in clear text using HTTP, so your data is always vulnerable to hackers and identity thieves. So even if you're no bothered about Governments building up huge profiles and lists of everything you do or say on line, protecting yourself from Identity Theft is another reason for using Internet Privacy software.
Now I'm lucky I can pay a few dollars to use some software that encrypts my internet connection and surf from a wide selection of super-fast proxies across the planet but others aren't so lucky. Many people trying to protect their privacy foolishly use free anonymous proxies that they have no knowledge of, which are more often than not run on malware infested hacked servers with identity thieves happily recording all their details.