User data, the Kinect, advertisers accessing your purchase history, and many other pressing questions have all been raised since the Xbox One's coming out party earlier this year. Microsoft has released their full privacy statement right here and you would do well with giving it a full read through. This gem stuck out to us in particular,
"If you choose to link your Microsoft account with your account with a partner company, Microsoft may share limited account information with that company. Such account information may include name, address, email and date of birth but will not include any credit card or other payment information. For games that enable in-game communications, the game publisher may also have access to the content of in-game communications when you are signed into your account with the publisher."