You only have to see one privacy policy to realize it doesn't have a lot of teeth to it. People are discouraged to learn that retailer privacy policies don't protect their privacy. They just tell you how the retailer will use the information.
Office buildings and government buildings have surveillance set up. Online, it's pretty easy pickings. A lot of servers aren't secure, and it's not like you have to be super-sophisticated to learn how to hack into the site. You get a lot of bang for the buck.