Many of us have this perception that things on the internet should be free.
When you think about it, Google Search (or other good search engines), maps, images, email, wikipedia, youtube, cricinfo etc are amazing and brilliant services that should really be charging people money.
These ads are the price we pay, and I find it hard to complain if they take a bit of my data to show me a targeted ad. I mean they were going to show me an ad regardless, so why not something relevant?
Yeah, I am sure this is the attitude of many, and I don't mean to cause offence when I say this, but this is ultimately very naive.
Individually many of the pieces of information Facebook collects about you might be benign, but when collated and cross referenced with other data the possibilities are incredibly extensive. The information you provide Facebook has been shown to be capable of identifying people's sexuality, political and religious affiliations, credit worthiness, health problems, and other sensitive info, despite none of it ever being volunteered to Facebook itself. It is all inferred based on predictive analytics, but is done with a very high degree of sophistication and accuracy. If this stuff was used only for the purposes of advertising it would maybe be ok, but it's not, and nobody really knows what happens to this info after Facebook shares it with other parties. In the wrong hands, this info could really be used to screw you over, badly.
Similarly, despite the above predicitions about a person's identity usually being accurate, they are still just that, predictions, and they can be wrong. An oft used example is as follows:
Person A goes on Facebook, and uses the messenger function to speak to Person B about the fact that Person B has cancer.
Person A then goes on Google and searches for life insurance for Person C (who, let's say is an elderly relative).
Facebook and Google then collate this information (i.e. the fact that Person A has used the terms "cancer" and "life insurance"), and wrongly identify that Person A has a serious illness and is looking for health insurance, and is thus a bad credit risk.
This information then ends up in the hand of an insurer or a bank or something, who then ramp up their premiums massively for Person A, and Person A is totally boned, completely unfairly and through no fault of their own.
Edit: As Stephen has said, none of this is to deny the usefulness of what personal data can be used for. It's just to highlight the fact that there are some really concerning possibilities out there, and that it's not "all just about advertising".