If you walk into a store, the merchant sees you, notes your sex, race, if you're a regular, what items you buy, etc. If you buy a hammer from him, he collects that fact. If during the transaction he asks you for your name, mailing address, and occupation, and you tell him, he has that too. Secondly, a transaction has two parties. As a consumer, you have no more right to exclude the other party, the merchant, from the information he collected during the transaction, than the merchant has to deprive you from telling your friends when and where you bought the hammer and if it was a quality hammer or not.
Online commerce is no different.
If you don't want them to have personal information, such as mailing address, phone number, etc., don't give it when asked. You want them to have your information so that they can send you their catalog and e-mail you their sales specials. But you don't want them to tell anybody they want about you. This is where living in a free society pays off. Two parties can always contract.