This is an interesting area and something everyone should be aware of, even if they are not concerned about it. There are lots of options in software, especially browsers to help with this and there are many extensions that help.

Usually your privacy rights, or the lack thereof are documented in the Terms of Service for a given website, appication or system. All too often we just say we have read these and agree to them, rather than actually reading them. This is where Terms of Service; Didn't Read comes in, they do the reading and then process and grade them for you.

There are easy things to do and hard things to do. One easy thing is to switch to DuckDuckGo — Privacy, simplified. for your internet searching, rather than just use Google, which I have done. Another good choice is to use Secure, Fast & Private Web Browser with Adblocker | Brave Browser which is not only an excellent browser but also deals with the advertising issue head on via Brave Payments and Basic Attention Token.

Some people seek out a VPN or secure e-mail, if you do then That One Privacy Site | Welcome is a good comparison site. I will be honest and say I have not reviewed this area thoroughly, however Mozilla have established a relationship with Proton VPN (October 2018) and having looked I would be inclined to sign up with ProtonVPN or ProtonMail another option is High-Speed, Secure & Anonymous VPN Service | ExpressVPN which is often suggested for bypassing certain firewalls and has a 30 day money back guarantee.