I've lived in both the United States and Germany for long periods of time. In general, these are two modern, democratic countries, not typical oppressive regimes, an 99% of the people have nothing to worry about 99% of the time.
The problem are the 1% who express the wrong ideas at the wrong time. I know people who have been put under surveillance or charged in court for things that are perfectly legal, or just minor infractions. Some examples from Germany:
One guy I knew made a poster protesting against nuclear power, and put it up near his university. About a year later he got a letter saying that the "proceedings against him have been terminated". He found out that the police suspected him of planning a terrorist attack against a nuclear waste transport. They bugged his cell phone, his apartment, and followed him and his friends for about a year, until they realized they have the wrong guy.
A friend of mine made a mistake of visiting a squatted house an being seen there. Later he went to a demonstration, got filmed by the police, and charged with something you could translate as "ring leadership" or "inciting a riot".
There also was a famous case last year where a pacifist pastor who visited a anti-nazi demonstration was charged with something similar [1]. (And of course there are numerous examples from the US.)
The thing is, the threshold invading people's privacy is getting lower and lower. Police or intelligence agencies will put you under surveilance if they just have a hunch. At the same time, persecutors are under really high pressure to "make a case". More and more they will rather convict an innocent on dubious grounds than admit a mistake. Actual quotes from judges (paraphrased): "we need to make an example", and "I don't know if the accusations are technically true, but if you were there [at the demonstration], you have to be guilty of something".
A situation like this is unworthy of a democratic society. As I said, stuff like this doesn't happen to 99% of the people. But you never know when you are in the 1%. I have to be afraid to say anything controverisal - I have firecrackers and vinegar at home, what if some overeager investigator decides I want to make a bomb out of it? And this kind of fear is what they call a "chilling effect" - people will stop using their democratic rights, their right to free speach and freedom of assembly and so on.
[1]: http://news.msn.com/world/german-pastor-faces-trial-over-ant...