What's really bugging me at the moment are mobile phones. The amount of private information they are leaking is constantly increasing, up to the point where their use is becoming a dilemma.
One of the problems is lack of control on the hardware and software layers. I would like to be able to completely assemble a mobile phone just like a PC, be able to hack IMEIs, etc.
I think this is probably one of the biggest challenges in terms of privacy, at the moment.