Other reasons that aren't just the government, there are a butt-load of advertising companies that collect butt-loads of information about you. Your individual information is worth pennies to them, but it adds up to a goldmine with the amount of information received. It is why they are having a fuss about Microsoft having "Do-Not-Track" as a default (although generally speaking, it does nothing because advertisers aren't forced to not track you.) Typically speaking, they can collect information about you and sell it to other companies that know nothing about you because information about you is good to them. They wouldn't need to tell you that they are selling information about you because, lawfully speaking, the information they collected about you is theirs to keep. Many sites work like this, all/most information you put on the site is theirs to keep. Which isn't really paranoid speaking because it is fact. Just look at Facebook and even Google (although I don't have too much of a problem with Google.)
It is also the reason why I ad-block most sites (there is a few I am willing to unblock the ads because they generate revenue for the site.)
Anonymity and privacy, like a journalist, helps when you don't want to single out anybody or single out yourself. The fact that people can go online without being scrutinized, per se, is already a lot. But it is really a double-edged sword and applies to every thing.