A lot of people are giving good examples, and good answers. But I want to make an analogy instead.
Let's think back to the time before the internet. 1970s. If somebody wanted to know everything about you they needed to stalk you. And that was very time-consuming. They needed to follow you everywhere you go, they needed to read all of your mail before you opened it, they needed to look through your trash, they needed to talk to all your friends to get all the information about you. Having a stalker was a serious time commitment from the stalker.
Fast forward to today, stalking is now trivial, and cheap. Thanks to new technology, data aggregation, and data brokers, every single person has a virtual stalker following them 24/7 who is dirt cheap for anybody to hire. So what would have been a crazy stalker in the 1970s can be used by anybody now to learn everything about you and do anything to you. That includes the police, that includes advertisers, that includes power tripping angry exs.
In the 1970s if you had a stalker you had a serious problem and people would help you stop the stalker. Even if the stalker did nothing illegal the fact that they were focusing so intensely on you would be enough for everyone to realize you're in a bad situation. Today that's the norm. So privacy is basically saying you don't want a 24/7 stalker for hire following specifically you.