Good thing none of the major advertisers would even consider selling the actual data connected to you to anyone else. They will happily sell the ability to advertise to you, but that is a very different thing.
Yodlee almost certainly has a record of the vast majority of your credit/debit transactions. It doesn't sell the ability to advertise to you as a specific demographic, it sells that data directly.
If you log into the free public wireless network available in most areas, your presence at that location will be logged, correlated to your identity and sold. Again, Foursquare sells this data directly, not the ability to advertise to you.
Thasos sells your location history based on mobile data. Slice sells your location data based on mobile SDKs it provides developers in return for your data. I can go on and on.
Is there at least an attempt to anonymize this data? Usually, yes. Does that work in practice? Sometimes, often even. But frequently it does not. You need fewer than 33 bits of independent data to uniquely identify anyone on Earth. There are only so many other people in your area and age demographic who share similar waking hours, interests, habits and location data.
It is a myth that companies don't sell user data directly because it's their golden goose. Facebook and Google don't, but most of the data they have can be reconstructed independently from a variety of other sources that freely advertise it.
