Identity theft? Lol, I care little about that. Thats blown up more as a scare tactic to get more control.
google, saves all of your email transactions indefinitely. To even make a gmail account these days  they ask for a cell phone number for confirmation. So they have your cell phone linked to your email.
As for cookies those are all saved. Google scans your mail, that's what they use to generate ads for you. If you type a bunch of certain keyword in a email you could get an alert sent out and be getting arrested quite fast. It's actually happened to people before.
Just ask Brandon Mayfield. As for your cell phone turning it off does nothing. You can triangulate a cell phone even with the power off unless the battery is removed. As for the internet it's already being patrolled a ton harder, with more regulation and watching to come.
Just keep joking about it dude. Have you actually ever read anything about the fusion centers? Check it out, if you have might think a little bit differently. A massive network for profile trying to gain any information on people they can. But as long as your not doing anything wrong you have nothing to worry about right?