I'm no expert, but from what I've read they can take your name, location, buying habits, and potentially voice and video, amongst other info, and use that information for their own marketing research (appropriate imo), sell it to other companies (inappropriate), or sell it to your government (just look up PRISM and wonder why people distrusted Microsoft with the Xbox reveal).
With a company there is always a profit motive, so if you are getting software for free, it's probably because the company is using the above method to monetize their product.