Privacy (n.) The protection of data, information, or knowledge goods held and owned by an individual or a group, including physical, technical, or legal exclusions that defend that protection.
Wikipedia describes privacy as "the ability of an individual or group to seclude themselves or information about themselves and thereby reveal themselves selectively". This is a pretty good definition except that it fails to ask the ever-important question: why? Why do we value privacy? If there is no good answer to this, there is no good answer to the question, "does it matter when we lose our privacy?" Luckily, economics provides a solid answer. Privacy allows the owner of a data, information, or knowledge good to receive the appropriate market value for its sharing and reuse, or to benefit by excluding others from accessing that information good.
Abuses of privacy are violations of the exclusion, and use of an individual or a group's data, information, or knowledge goods without their permission and without due compensation. The abusers' motto "if you have done nothing wrong, you have nothing to hide" is similar to the tyrant's motto "all property is theft", a rationale for organized expropriation of privacy by a more powerful group. Pieter's Privacy Postulate states that in any given society respect for privacy correlates to respect for freedom.
The economics-based analysis of privacy is based on the underlying analysis that society can be accurately understood as an data-information-knowledge processing machine constructed as a free market.
It is easy to test this hypothesis: would you accept $1m in exchange for your credit card records? How about $10m, or $100,000. As is clear, privacy has a monetary value. Violations of privacy are consider "unethical" because society respects, by definition, the economic value of data, information, and knowledge.
Finally, one can note that the definition of "data, information and knowledge goods" includes images, sounds, and other data about one's self. When an individual or group publishes data outside an agreed exclusion zone - e.g. by walking in the street - such data is considered as being put into the public domain. Thus, the question "what hat did the Queen wear at yesterday's parade" is not an invasion of privacy, while "what undergarments does she wear" is.