The Electronic Frontier Foundation recently created the Surveillance Self-Defense Project, with this focus:
Surveillance Self-Defense (SSD) exists to answer two main questions: What can the government legally do to spy on your computer data and communications? And what can you legally do to protect yourself against such spying?
This will help you take back your privacy (in as much as it can ever be taken back).
This information is specific to the United States government, but there are other parties that are very interested in spying on you: your employer, advertisers, foreign governments, online stores, and many copyright holders.
Read the documents at the SSD Project and see how to increase your privacy in the surveillance society of today.