Does it bother me? Absolutely it does! The big companies now have unprecedented access to information on us, and they are not strongly regulated or bound by legal conventions in the same way as a country is.
At the same time, though, I don't think either Google or Facebook are fundamentally evil. But they are trying to act in their best interests, which may not be our best interests, and so caution is required.
Advertising is a mixed bag as well. Sometimes it's nice to have more targeted ads, as it's more likely they will be useful. Other times it's just creepy or manipulative. And I am fascinated by how much we can learn about ourselves and others from data.
What concerns me most is that once the information is there it's very difficult to get rid of it (though EU is trying to make it easier to get rid of personal information - we'll see how it goes).
And it's not just available to the big companies internally. With the appropriate warrants it can be available to governments. And that bothers me more, because government overreach is a thing. Every government official and every police officer wants a little bit more for solving their own personal problems for the good of society, and it slowly slides towards a surveillence state. So long as there is a good enough reason (terrorism, anyone?), most people will accept reductions in privacy in the expectation that it will help get the bad guys and won't affect them (I'm not sure either is true). But here's the thing: Internet data stays round for a long time. No-one knows how our innocent activities today will be viewed in 20 years time. Hindsight judgement can be damning.
Privacy has to be viewed as a fundamental, not as a cause for suspicion ("obviously you've got something to hide"), even though the former Google CEO Eric Schmidt said something like that.
In short: Yes, I'm worried. No, I haven't deleted my accounts on Google or Facebook, and don't have any expectation of doing so any time soon.