The EU has developed several rules that protect citizen’s rights on the Internet. The “e-privacy directive” for example is one of the more prominent laws that regulates how corporations can use personal data. In general, consumers typically have a right to bring claims to a court at the place where they permanently live or reside.
Nevertheless, you should make sure you understand business models when you use a product. Sometimnes that also requires to read the “fine print”. Unfortunately, some corporations tend to advertise their offerings without clearly stating the impact on privacy or data protection which is something to keep in mind when deciding to use a product.
Additionally, you should also consider to use technical measures to protect your privacy. That can result in the choice of certain hardware and applications, browser add-ons, VPN services etc.