And you do it all in the name of saving $0.10 on a box of cereal.
First of all, the savings can be pretty significant if you shop smart. The thing is, before "loyalty cards," they were simply called "sale items" and had the same discounts. Nowadays though, they don't have to have a loyalty card to track you. They can track you by your credit/debit card. For example, Lowe's recently created the "My Lowe's" card, which doesn't give you any discounts but the supposed benefit is if you lose your receipt you can still return stuff. The thing is...even if you don't use your My Lowe's card, you can return stuff without a receipt because they can look it up based on your credit card number that you used to purchase the item. That shows that they're tracking your purchases even without a loyalty card. Wal-Mart doesn't have Loyalty cards, but you can bet your ass they're still tracking your purchases.
More importantly, even though these companies may be evil, they are not bound by the 4th amendment and their stated purpose is to make a profit for the benefit of their shareholders. The government, on the other hand, is bound by the constitution (even though they ignore it), and their stated purpose is for the people (even though it's now to benefit the profits of politicians' campaign contributors).