Any information which can be used observed on their network. Big Brother "privacy" invasion stuff, plenty of info about it all online if you look around. They know your phone's location all the time, when it's used, how it's used, who you communicate with, where you go, what your interests and patterns are. That's valuable information to marketers by itself. Push beyond that into conspiracy theory stuff and you have to ask, for example, how can Google automatically eavesdrop on your phone microphone unless they have some kind of (financial) arrangement with the owner of the cellular network... or how large businesses can buy advanced caller ID services which unmask incoming numbers and display the caller's name, address, photo, etc.
But I say don't worry about it... Nobody has "privacy" and nobody is "anonymous" anymore. Unless they go completely off the grid and refuse to remove their tinfoil hat. At least in Canada.