People get wiggy when they think they're being targeted with advertising. Even if they're not. This paranoia wouldn't be a factor if the companies doing the actual ad targeting would level with folks every once in a while. I've said it before and I'll say it again: Going out of your way to tell people how you're delivering messages that are more relevant to them is critical. Otherwise, people are going to assume the worst about you and think you're tracking their every movement across the Internet.
Yes, I know there are bigger problems here. But as long as companies insist on firing messages AT people instead of conversing WITH them, the least we can do is take steps to ensure people aren't freaked out by it.