Why are people uncomfortable with being monitored? Why exactly is privacy so damn important?

Pretty much everyone thinks privacy is a really big deal and it needs to be protected by any means or else.
People are going nuts whenever someone even implies the possibility of government, or even some other random person, knowing what we do and monitoring us. Heck people get all puffed up and nervous if someone even looks at them.
Not respecting privacy is seen as a deadly sin.
Why?

If you’ve done nothing wrong, and have nothing to hide, why would you give a damn who’s watching you?