They can access your webcam and microphone
The data they collect includes tracking where you are, what applications you have installed, when you use them, what you use them for, access to your webcam and microphone at any time, your contacts, your emails, your calendar, your call history, the messages you send and receive, the files you download, the games you play, your photos and videos, your music, your search history, your browsing history, even what radio stations you listen to.
Curran provides a bunch of links to collections of data about you. You can even get your entire Big Brother profiles via google.com/takeout or https://www.facebook.com/help/131112897028467.
Another important link you may want to check out next is to the Electronic Frontier Foundation – a watchdog and advocacy group “Defending your rights in the digital world”.