I'll pick on Facebook for a bit, since they're some of the worst about this.
Facebook owns your posts. They own what you put on there (but take no responsibility for what you put there). This means that, even if you have the privacy setting at "no one can see this", FB can use that data to learn about you. They look at the content of what you put on their site. They read what you write to other people, even if you think it's a private message. They then use this information as they see fit, they can sell it, read it, do whatever they want with it, yes, even single you out for persecution if they felt like it. The NSA isn't looking at content, only metadata. They look at who makes the call, who receives it, when it's made, that sort of thing. They don't look at what is inside the call. Yet somehow that's worse than someone reading the content of your message and actually using it to target you with ads and stuff. The government's scary? No, the government is inept. Corporations are scary.
EDIT: Here's the thing I tend to see from this conversation that really bugs me. People are immediately assuming the government is here to be evil. Not helpful but corrupt, just that it exists to be evil. No matter what it does, it's evil. Always. Corporations? They're out for a profit, who cares what they do, they aren't trying to hurt us, they just want money. But people who think like this forget what corporations are doing on a daily basis. Apple was taken to court for artificially inflating ebook reader prices. Goldman Sachs (or was it someone else?) is (legally) artificially inflating aluminum prices by insider trading (they own the aluminum warehouses, and force delays on the delivery, while betting on the aluminum futures). The government is supposed to have its people's best interests in mind, corporations are supposed to have the bottom line in mind. Only one of those will not screw you over if it means making a quick buck. Now, you can get into another argument about corruption and stuff in government, but the point is, why are people more afraid of the governemnt than the corporations doing worse things?