I'm also uncomfortable with what these companies do with the data they collect, however I think there is a difference in that I directly entered into an agreement with these companies, signed a contract and have some avenues of recourse such as closing my account and moving to a competitor, complaining to a regulator or even going to court.
When it comes to ad companies hoovering up data wherever they can I have practically no options to do anything about it, even figuring out which companies have collected my data would be a sisyphean task
It's a good point though, and to add to it: mobile comms companies' ability to track device, and therefore individual locations.