The Privacy Act of 1974 (5 U.S.C. § 552a) protects personal information held by the federal government by preventing unauthorized disclosures of such information. Individuals also have the right to review such information, request corrections, and be informed of any disclosures.
There are no federal privacy laws regulating many companies, they're pretty much free to do what they want with the data, unless a state has its own data privacy law (more on that below). In most states, companies can use, share, or sell any data they collect about you without notifying you that they're doing so.