There are a few reasons you might want to be concerned about the amount of data that's being collected about you and sold on an open market.
If you ever wanted to make something disappear (for example a troubling photograph taken of you years ago, or a particularly stupid and tasteless MySpace post from over 10 years ago about something you no longer believe), that's already hard enough, right? You've got the Streisand Effect on one hand if it's really big and the fact that getting the information removed is difficult if not impossible anyway. Because first you have to get it off of the platform and you can delete your Facebook without too much issue, but they've already sold your information from that account to a third party who is then selling it around to anyone with money. And they're so difficult to deal with that there are services you can pay to deal with them on your behalf.
And getting the information out of the hands of the data brokers may be more important than you initially realize. You know how easy it was to find someone's address? Imagine someone dodging a vengeful ex, trying to escape abusive parents, or looking to not get doxxed by some rando dude who doesn't like that a girl he's infatuated with doesn't know he exists and wants to punish her? It can be truly dangerous to have that kind of personal information out there when the wrong people want to look for it.
There's also the issue of the government going after your privacy. In the 1960's the Hoover FBI tried to consolidate a lot of different government databases into one big mega-database. On the one hand this would create a lot of efficiencies, but it's also a massive privacy concern, and thankfully the legislators of the time thought so, too. They passed several data privacy laws at the time and that was good enough for a while. But now that the data brokers are operating in the open, governments can purchase that information as well, and not just the US government, either. And in the US, Facebook, Google, and others regularly cooperate with government requests for data the platforms have collected (think FBI and Police) without even needing a warrant. For example, the local PD suspects you of having been at that rally that got violent? The PD can go to Facebook and ask for your private posts and pictures (remember, that includes ALL Facebook-owned properties) all without ever asking a judge if it's necessary.
So with all of this in mind, it hopefully seems like a pretty good idea to at least keep an eye on what data you're giving up to these companies as you live your digital life. The next page links to a fun little puzzle game where the object is to keep a corporation from tricking you into agreeing to their terms of service and accessing your data.