I've heard that as well (i.e., that Google is "worst" in terms of privacy). I haven't had the time yet, but I am definitely going to be adjusting my settings. I detest the feeling of being "followed" on the Web.
This browser add on really helps with targeted ads: Google Analytics Opt-Out
Or if you want to get rid of ads entirely there's this: Ad Block Plus
No more crap jumping around on web pages or strange videos you "might like".