Here's a useful link from Mozilla that details some of the carmakers doing some shady stuff with their models. In a nutshell, these cars have a GPS transceiver, microphones, and cameras to monitor your location, hear your conversations, and even see who's in the cabin with you. Usually this info can be sold to third parties like insurance companies, cities, advertisers, and more. They can even give the data to law enforcement with few limitations if any. There could be a bunch of other ways this data could be exploited.

Usually these cars have some basic cellular modern to transmit the data but I wouldn't know how much the carmakers pay for the service.