Some day I ought to put together a comprehensive list of privacy-related links. This is not that list; it's just a few of the links that came my way recently, in no particular order.
I'd suggest starting with the ACLU's What Individuals Should Do Now That Congress Has Obliterated the FCC’s Privacy Protections. It's a good overview.
DuckDuckGo is my current privacy-preserving search engine of choice. The DuckDuckGo Blog has been a good source of additional information. I especially recommend this article on How to Set Up Your Devices for Privacy Protection -- it has advice for iOS, Android, Mac, Windows 10 and 7, and Linux. Also check out a broader range of tips here.
The Electronic Frontier Foundation, as you might expect, is another great source of information. I suggest starting with Tools from EFF's Tech Team. While you're there, install Privacy Badger. It's not exactly an ad blocker; what it does is block trackers.
The Linux Journal's article on Data Privacy: Why It Matters and How to Protect Yourself has a lot of good advice, most of which isn't Linux-specific at all.
However, if you are running Linux, you'll want to look at How To Encrypt Your Home Folder After Ubuntu Installation, Locking down and securing SSH access to your server, and Own Your DNS Data.