I have a couple recent events that illustrated why privacy can be important.
A friend was stalked, badly, by an internet stalker and it became really real, fast. Another guy I know, his company hired someone that basically after a few days knew a whole lot about everyone and sort of used that as leverage against them. I know at least one person that had some of their medical data compromised on a site where you share health/fitness and other data.
The more information out there the more someone can turn the screws on you. If they have nothing, they can do nothing. We can see what all of that data is doing over in China. We can also see examples of it here in the USA already. We can see corporations do this and utilize public domain intelligence to build profiles on potential candidates they interview. Governments aren't good stewards of data. Even if they have no actionable intelligence on someone in terms of activity, they are still holding that data and they've proved themselves unsuitable hosts for it.
I was surprised to find banks and credit card firms have extensive opt-out's you can partake in. Login to their portals and look for privacy toggles. If not toggled, they will share your data, including purchase history to questionable third parties. I was also surprised to find Costco shares shopper telemetry and purchase history with third parties, but you can open a chat with them and opt-out. There are many examples of this, but keeping it under control is far easier than reigning it in after losing it. Also, if you take a privacy position it will become second nature, like taking a shower or putting your shoes on, it's just something you do out of habit, day to day.
Remember, if a product/service reduces or eliminates logs they are essentially activating better privacy by default. For example Gryphon sends no logs unless you manually send them, therefore any interception of anything is quite irrelevant. Companies that choose to offer no or reduced logging are actually doing you a service. Companies that extensive telemetry are doing you a great disservice.