Privacy on the Internet is important because privacy risks range from the gathering of statistics on users to more malicious acts such as the spreading of spyware and the exploitation of various forms of bugs (software faults). Many companies, such as Google, track which websites people visit and then use the information, for instance by sending advertising based on one’s web browsing history. Sometimes prices on products are changed on the same website, depending on tracking information, and two people may view the exact same product on the exact same website yet be presented with very different prices.
If you’re concerned about your browser “phoning home”, you can find out exactly what it’s chattering about using key logs and a packet sniffer (I recommend Wireshark or derivatives). Key logs are required for decrypting TLS traffic, and Firefox + Chromium support them.