Your cellphone company tracks your location and usage... who you called and when.
Your ISP tracks which IP addresses you connect to and the URLS you visit
The websites you visit, track your location and IP address
The advertisers in those sites track you across sites and see what you visited and when.
Google or Bing track your searches, and so know your medical conditions, religious beliefs, and sexual orientation.
Facebook tracks everything you view, like and share, and from that knows your political leanings, opinions
The Applications on your phone may have access to other information about you..
All of this information may be aggregated and sold to third parties....
And of course your government and law enforcement can get all of this stuff...
(so yeah... if you really insist you can go and root your little cheap android phone, buy and expensive blackberry or iphone, but its not going to make jot of difference)