In this chapter, we discuss the privacy implications of mobile sensing and modern psycho-social sciences. We aim to raise awareness of the multifaceted nature of privacy, describing the legal, technical and applied aspects in some detail. Not only since the European GDPR, these aspects lead to a broad spectrum of challenges of which data processors cannot be absolved by a simple consent form from their users. Instead appropriate technical and organizational measures should be put in place through a proper privacy engineering process. Throughout the chapter, we illustrate the importance of privacy protection through a set of examples and also technical approaches to address these challenges. We conclude this chapter with an outlook on privacy in mobile sensing, digital phenotyping and, psychoinformatics.