Agreed. I have been giving a passing look at the new crop of thermostats and I'm not sure why it needs to be internet-connected, at least in the sense that they're talking about where some third party has access to all that data.
Sure, it can figure out what to do based on the weather, but the METAR reports are available online. It can figure things out based on previous history of what you did in given situations, but honestly, while that may take some work to figure out, there's not that much data or computing power required for this on an individual level. Yes, I'd like to be able to change my thermostat or check on it when I'm away, but I don't know that it necessarily requires having a service that I turn all this information over to that does more than acts as a middleman for passing some encrypted control packets back and forth.
One of the big problems with this is that the background magic (as most people see it) requires expertise, needs maintenance, securing and costs money. Given that it was already written I could put this magic this on my (internet-connected) server sitting in my geek room floor as an afterthought. I could probably, given enough time, hack something together that gives me 85% of the solution of the commercial product without compromising my privacy. The problem is that I don't really want to spend the time, and most others (my dad, my grandparents, my wife, even my tech-savvy friends at work) don't have the expertise to do this.
I suspect most of them don't even value their privacy enough to see a problem. I'm guilty myself; for example, I could set up OwnCloud and use that, but I still use Dropbox. It's just too abstract a problem for me, I guess.
I really wish there were a line of these gadgets that communicated with a low-power, centralized home server along the lines of a Pogoplug or some other low-power device. Shoot, it could even be a small NAS device for storing your media, too, but hey, look at all the other stuff it does (which we have already with most of these devices using ipkg, etc)! The problem seems to be that there's not enough money there to get investment.