Data mining is very lucrative. Just look at all those loyalty cards out there. You members out there didn't think the stores give out discount and club cards out of the goodness of their hearts, did you?
I always tell clerks that I'll take an application to fill out later, and they give me a card. Then I throw away the application and just use the cards, lol. I don't mind if they track my purchases, but I don't give them my personal info. When asked for info otherwise, I just tell sales people I don't give it out.