Although my anecdote ended with additional data collection, the scary part is the manipulation of action. You might think that, as an example, they see you browsing a pokemon website and therefore show you more pokemon ads, something that coule be mutually beneficial. What you should be worried about, is something like based on your browsing behaviour they figure out how to manipulate your political action, or figure out your state of mental well-being and manipulate it. There is especially horror cases here when this is algorithm driven instead of being pushed by humans. One could imagine ,and I want to preface this by saying I'm not aware of this ever having happened, a machine learning algorithm relating signs of some mental illnesses with an uptick in firearm sales, and then increasing advertising of firearms to those people. You could imagine this driving things like an increased suicide rate.