Personalised ads are beside the point. The issue is how they are personalised, namely by building a rich profile of user behaviour based on non-consensual tracking.
It isnt even clear that there's a meaningful sense of 'consent' to what modern ad companies (ie., google, facebook, amazon, increasingly microsoft, etc.) do. There is both an individual harm, but a massive collective arm, to the infrastructure of behavioural tracking that has been built by these companies.
This infrastructure should be, largely, illegal. The technology to end any form of privacy is presently deployed only for ads, but should not be deployed anywhere at all.
If private data is stored, there's already a chance of it getting out. You may get lucky, you may not, but for someone that hates you enough, any random detail can be a weapon. Even stuff that doesn't depend on your actions, like religion, country of origin or even medical details. People you associate with, even at a superficial level, can make you guilty by association. And let's not get into stuff like porn habits...
Political manipulation can be made real easy if they got dirt on you, too.