While Microsoft’s been collecting personally identified information of various kinds for more than a decade, Windows 10’s going to turn that trickle into a gusher. You can curb some of the data-gathering proclivities with various tools and websites, but you won’t be able to turn it off entirely without disabling some features that you’ll probably want to use. And no matter how you shake it, Windows needs access to that info in order to provide you with the services you likely want.
The decrease in privacy and concomitant increase in advertising in Windows 10 is a multi-edged sword. I’m not saying you should necessarily avoid it. I am saying you should understand it. The privacy infringement goes much deeper than simply setting up a Microsoft account.
Let’s start with the obvious: Windows 10 collects much, much more personal data than any of its predecessors. The data’s generally sent to Bing and from there it’s attached, presumably, to either your Microsoft account or some sort of identifier based on your IP address. There’s also your personal Advertising ID. You knew about your personal Advertising ID, yes?