All the others here in the comments have put up some pretty good answers for why privacy is important. All pretty good but there’s one point I heard couple of years ago that really stuck with me.

You see, my threat model isn’t really extreme. In my current position I don’t really need to worry much about the lack of privacy. What made me care about privacy though is the following:

Imagine a town where nobody cares about privacy as they “have nothing to worry about” so they all have their window blinds open and allow pretty much everyone to see into their daily lives. It’s the norm. Now imagine that in this town, it is considered evil and worthy of public shaming to have blond hair. In this town is one person with blond hair that has had to hide her hair color with a wig for all her life. But when she gets home she closes the blinds, takes off her wig and finally has a chance to be herself.

The rest of the town folks don’t see her blond hair, but they notice that she is the only one that occasionally covers her windows. She must be hiding something.

This is why privacy norms matter. Not necesserily to protect ourselves. But to protect others.