I am a bit of a privacy enthusiast. I like to make sure that I am spied on as little as possible. That is why I try to use trustworthy looking open source software exclusively – not that I am reading the code (while I do programming, reading other people’s code can be exhausting and I am not familiar with most languages anyway), but it does show an effort to be transparent and hopefully someone more paranoid than me actually reviewed the code. So, of course my web browser is like a fortress, which blocks ads and even JavaScript, has no history or bookmarks and erases cookies and data on closing. VPN? You bet. Separate operating system with encrypted disk, which I use for specific things only? Yep, I have that too.
However, even with all these precautions it is not easy to keep control over personal information, not to mention it also somewhat complicates life. These are some of the reasons, why most people do not bother with protecting their personal information and instead they argue, that they are not doing anything wrong and so they have nothing to hide.
First we must realize, that this is actually a pretty good argument, once you add in the things not directly said, but only implied. Some people try to attack it with arguments like "You might have nothing to hide, but other people have things to hide." or "Then show me your credit card number.", but that leads nowhere. When an average person says, that they have nothing to hide, they mean to hide from their government or possibly big companies, which provide the person with services. The average person trusts these that they will not misuse personal information and usually when we talk about privacy on the internet, we talk about the government and big companies. The real problem of this nothing to hide argument lies in its assumptions about trustworthiness.
Lets start with looking at the private companies. Of course, even though the Microsoft can hypothetically see everything I do on a Windows computer, it does not mean they will steal my banking credentials and empty my bank accounts. People would talk and soon nobody would use their software anymore. The government could also stomp on them for this. Unlike companies, the government has an army, which it can use to enforce its own rules and one of those always was that only the government can steal (read as "tax"). Yeah, sometimes corruption happens, but usually companies can not get away with such obviously unfair behavior. Instead they use the gathered information for targeted advertisement and service "improvements" (sometimes the only improvement is in their profit margin). Personally, I do not like this, I do not like forced ads in general and I do not understand why they need to spy on people to improve the software (do they not use their own software?), but I can not say that it causes me any real harm either.
The problem occurs only when this comprehensive set of data about you gets to the wrong hands – which happens quite often. When we overlook the fact that a company is happy to sell data about users to almost anybody (the data are usually anonymized, which limits negative effects, even though there are ways how to more or less successfully separate an individual from it), there are also data breaches, which are then sold on the black market (and usually not in an anonymized form). Criminals are often interested in passwords, which they try to use on all your accounts, and they will spam your email. Information about you can also be used to create AI generated phone calls, which will pretend to be one of your relatives in a distress to try get some money from you or they will use your planned vacation to break into and empty your house (although, for this you often just need whatever information people willingly give up on Facebook). The situation can be more serious when information leaks from banks, so that others can see how much you are worth. Then all that is left to do is to find out your address and you will be visited by a bunch of masked guys, who will beat the password out of you with a wrench. Sure, unless you are rich, nobody will bother assaulting you at your own home, but it does happen. Finally, sometime people have the need to hide things from their family for their own safety, but it is hard to keep e.g. a pregnancy secret, when Google suddenly starts advertising baby products to your family.
For these reasons, it is for the best when companies keep only the minimum of personal information necessary and for the shortest time necessary. Hopefully, cybersecurity of companies is getting better over time, but it is still not as good as it could be. You would be surprised how many services depend on programs, that are more than 20 years old or written by amateurs.
What about the government, then? What was said about private companies applies to it as well, but on top of that it can also actively work against you. You can usually decide, which private company you are going to trust, but you do not choose your government. Your voice is one of millions, so you will always bow to the majority in at least few matters. If most people decide, that cat owners are at fault for everything, then cat owners are at fault for everything and the photos of your cat on Facebook become a problem real fast. And the government will find them, because companies must cooperate with it.
It is not easy to keep a good government. People with power do not like to give up that power. They like the voters to be uninformed, thus easier to manipulate. The government wants to know everything about you, but hates when its people want to know what it is doing.
This is why we need anonymous communication. So that people can talk about corruption and discuss societal issues without the fear of someone trying to silence them. And it is not just the government either, there are ordinary people, who are willing to ruin your life, just because they disagree with you on a single topic. Anyone can be wrong, people should be punished for what they do, instead of what they think.
Unfortunately, silencing people with an undesirable opinion does not happen only in totalitarian regimes, but in democratic countries as well. In some countries you can face jail time for posts on the internet, which someone deems offensive. Lets not forget about all the times the USA government experimented on their own citizens without their knowledge. Or the Covid pandemic, when it was common to suppress supposed misinformation - from concerns about possible side effects of the new vaccines to established facts (like the tendency for the virus to get less lethal over time, which is exactly what happened). While most conspiracy theories are full of nonsense, the rest is very plausible and it is not uncommon for these to be eventually proven true. Some people like to argue that private communication services are used by criminals to hide from police and that is true, but when the government itself has its fair share of bad actors, we must protect ourselves somehow unless we want to forever stay silent and obey.
Privacy is not the same thing as security, but there is a strong correlation between them.