For the most part you have a pretty clear picture of what every company does with your information. They sell it to advertising agencies to provide you with targeted ads to make you buy their stuff. It's all just a matter of who's going to take care of your information, and provide you with the targeted ads that you would be able to tolerate. That's why my money's on reliable companies and sites, at the very least you know for sure they're going to take care of your information, and most of them have a "Do not Sell my Data" clause on the privacy statement that you can take them to court with should you find out that they violated such guidelines. Basically you have legal powers over the casino and the information they collect from you when it's a reputable site. You wouldn't really have this amount of certainty on some other gambling site which sets them so far apart.
The gambling sites never tell customers when an employee steals player data and sells it, for more than they'd pay that employee in a year, happens all the time though
If it isn't a former employee selling it, you still have to worry about the specific sites security of your data, when many of us are from the "verify, don't trust" school of thought