Let's not underestimate the real power of data. Look at targeted advertising. It was really creepy a few years ago, wasn't it? Back when Target notified a teenage girl's family that she was pregnant (with helpful "she might like this" emails) before she told them? Ever wonder why that stuff doesn't happen so much anymore? It's because the advertising agencies know that it's super creepy so now something like 90% of ads are intentionally random. But they still get the 10% right.
You suggest the thermostat temperature alone may pique the interest of various surveillance agencies. I know you think you're joking, but this may be the one point of data they need to make an otherwise suspicious individual statistically significant. And don't make the mistake of thinking human beings are the ones suggesting what data is suspicious in what ways. The key to the entire data mining explosion is that when you have enough data about everything, you can set up an algorithm to figure out the statistical connections. Maybe it's really only suspicious if the thermostat is set 2 higher on Tuesday from 3am-4:45am. And 99% of the time that happens, it's because of a specific crime in progress.
We live in an age where we have been mostly liberated from the tyranny of humans trying to make those kinds of connections. Finally, with enough data about an individual, the computer knows what you're doing. The danger, of course, is still that humans will use that knowledge toward the wrong ends. First and foremost is the likelihood that human agents will abuse their power. Second is the likelihood that they will willfully misinterpret the results. And third is that they will almost certainly use the data to enforce existing rules rather than to analyze the actual social impact.
We have good reason to fear the invasion of our privacy. We have better reason to fear that anything else will truly understand what we are doing and why. We have the greatest reason to fear that this power will belong not to robot overlords but to people still bound by our legacy of rules instituted before this power existed.