Windows 10 is Microsoft's best operating system in a quite a while, and possibly ever, despite a few foibles. Trouble is that it really, really wants to get mixed up in all your business and then tell the highest bidders all about it - which may or may not be why an upgrade to it from Windows 7 or 8 is currently free. Most of the OS's monitoring can be turned off, but it's a bit of a hassle and Windows 10 is far from transparent about what it all does. There is now a quicker method of raising your blast shields, if you so wish.
It should be said that the privacy and advertising controversies surrounding Windows 10 don't concern everyone. Some folk prefer to see ads which reflect their interests, rather than entirely irrelevant ones, and aren't concerned about in theory anonymous data on their computing habits being brought and sold, given just how many other parts of the internet already do it. There's also been no small amount of breathless exaggeration about how intensive the snooping is - bear in mind Google and Facebook, to name but two, having been having a good old sniff around what we get up to for years now. It's important, however, to have both awareness and choice. Windows 10 in its current form is extremely opaque on these issues, leaving it to others to help people understand and, if necessary, deactivate anything they're uncomfortable with. Not that matters are any better on your smartphone, but hey, this is a PC site.
There are various methods of tinkering with Win 10's privacy settings kicking around by now, but this one was quick and easy enough that I'm very comfortable recommending it here. It doesn't take out everything, but it's a damned good start. It's a 549KB freeware tool called 'Ultimate Windows Tweaker 4.0', developed by one Paras Sidhu for TheWindowsClub.com, and whose primary purpose is simpler access to assorted Windows settings and tools which are otherwise scattered far and wide across the OS, or even hidden entirely. Crucially, it also includes a Privacy tab, like so:
Clicking on any of those options will tell you what it does, and nothing's enacted until you hit Apply. You can also re- or de-activate as required, if something misbehaves or you're worried you're missing out on something useful. Be sure to create a System Restore point before you do anything, just in case.
The only two of these options which will very visibly affect Windows 10 is Taskbar Bing Search and Cortana, which if on will quickly show results from the web as well as local files from Win 10's built-in search function. Given most of us are in a browser all day long anyway, that's stuff often redundant, but I can understand how it's useful for some.
The biggies to disable, to my mind, are Telemetry, which is the one which tracks some general usage of the OS and Disable and reset advertising ID, which is what leads to targeted ads, at least within Microsoft applications and apps from the Windows store.
If you're particularly worried about those personalised ads, you should also go here and set all options to off if you haven't already.
The other tabs and options in Tweaker are worth an explore too, if you're into customising or want to snip away a few annoyances, but I'll leave you to browse that for yourself.