Recent controversy over Facebook Inc.’s hunger for personal data has surfaced the notion that the online advertising industry could be hazardous to our privacy and well-being.

As justifiable as the focus on Facebook has been, though, it isn’t the full picture. If the concern is that companies might be collecting some personal data without our knowledge or explicit consent, Alphabet Inc.’s Google is a far bigger threat by many measures: the volume of information it gathers, the reach of its tracking and the time people spend...