Name, address, GPS localisation data, habits (like apps you often use, moments you use one device or another), gender, search terms in search engines, open web pages on a web browser, connection (other person you know), the work you do and where you work.
All kinds of things, really.
The usage is mostly advertising or identity theft.
The Council, The Wreck, Haven, Orwell, Life Is Strange, Journey of course, The Stanley Parable, The Beginner’s Guide, Everything by Christine Love, Everything by Jonathan Blow, Inside and Limbo, Get Even, Betrayal, Kentucky Route Zero, Never Alone, Tell Me Why, A Plague Tale (both), Deathtrap Dungeon (interactive video adventure), Kholat, Asemblance, Firewatch, Her Story, The Vanishing Of Ethan Carter.
I include a bit of everything…