Be sure to lie whenever you can get away with it. When subscribing to magazines, spell your first name slightly differently on every subscription form. Every time someone wants household income, check a different level. If your address or phone number isn't important to what your filling out, change a couple of numbers.
Of course, don't be an idiot and screw up something that might void a warranty or get you into legal trouble, but if some nosey organization is just asking for information, give 'em some. Just make it the wrong information.
Depending on the situation, your lies may be little ones or totally outrageous.
Data mining is here to stay, but if enough people start lying to information gatherers, the data mined will be worthless.
Oh yeah, the election day exit polls? Always tell 'em you voted for the other candidate :)