Some people object to the way the data is used for behavioral ad targeting, because it's "creepy" -- it causes companies to reveal that they know things about you, without making it clear who gave them that information or how they gathered it. This can be surprising, and possibly unsettling.
Personally I'm not terribly bothered by the targeted ads themselves, but I see them as one symptom of a deeper problem. The data being used and sold is not data that I volunteered; much of it is data that is leaked unintentionally as a side effect of technical design of the web and other information systems. (This includes data like "the person who is visiting site A today also visited site B several times last week.") These leaks make it hard to know or control how much we reveal about ourselves (and to whom) when we use these systems.
Even if you aren't concerned with any specific information you may accidentally disclose today, you should still be interested in ways that our software and networks could be designed to give users better knowledge and control over these disclosures, because (a) other people are legitimately concerned about this, and (b) you may have reason to be concerned in the future.
