Here is the United States we are mostly talking about financial information and medical information when it comes to privacy and data security. The state data privacy laws focus on social security numbers and financial account information. HIPPA created a federal regulatory regime for medical information.
Europe has been focused less on financial information and much more on personal information when it comes to data security. The EU regulators are much more protective of the information about where you live, your race and your religion.
I thought this quote summed up the different approaches quite nicely:
Europe: You don’t understand privacy until they come for your neighbor in the middle of the night.