I try to at least take it into consideration. I don't feel like I need complete privacy and anonymity, in part because I like some of the aspects of the connected and digital world.
That said, I try to at least be aware of some of the trade-offs, and who my information is going to (which sadly is a lot more effort than most people are interested in making). It comes down to who I'm willing to grant access to what information, to what degree - in part because of what they're likely to do with it, as well as what I feel like I get out of the service.
It's part of why I avoid using Facebook, because of their (nightmarish) track record and attitude towards things. On the other hand I use a number of services that are quite capable of tracking lots of things about me, and in some cases noticeably do - everyone from my cellphone provider, to Amazon when I browse or buy stuff, to Google when I search for something or use their map service, etc.
Why do I use those and not Facebook? Mostly because I'm of the opinion Facebook doesn't give a rat's ass who it sells stuff to, and wants to know every last thing about me and my personal life. If anything, they're more like an Intelligence Agency in their overwhelming and aggressive interest in my information. The others are at least more content with the stuff I give them. Amazon? Amazon can know what I buy and view from Amazon, in part because sometimes they'll later show me more stuff that I'm sometimes interested in. I'd be happier with the option to turn it off, maybe, but that's still a choice I can make between shopping there and not.
But there's a difference between having applications that I choose to use - such as Skype for instance - that links back into Microsoft's cloud, and having the very OS itself basically running in SaaS mode with a cloud based account. It's also not just about the privacy issues, but also the security issues that syncing my local password and my cloud password presents.