I can understand a lot of people not wanting the information being collected (as i am one of them) however LewisCouch said it best about the "policy" being out of line. The people who are doing the collecting usually couldnt care less if they have that information, but are being told from above to collect it. Even the store managers often hate the policies like that, but in the large companies (the only place you see something like this happen and last) they have no control over it because the higher ups ignore them. The only way somethign liek this changes is if many people (read: customers) complain.
If the person you refuse the information to looks upset in anyway, its because they are in auto-pilot and a change from the routiene means a) more work and b) the possability of getting a talking to for not doing their job (how cna you tell if the person is too lazy to enter it or people are asking them not to?).
either way be nice when you're telling them to shove their policy :-D

I always refuse to give my information, with the only exception being during returns when they require it. But if it's during the course of a purchase, I simply say "no thank you" and they typically type all 9's or something. That was the rule when I worked retail: you asked, and if they refused you shrugged and moved on. If an employee gave me a fuss about things, I would most likely smile politely and refuse again. If they kept at it, well I don't really need to purchase from there ever again.

I've never had a situation where it's been significant enough to remember.

Just say no. I do that sometimes. If I'm in a crappy mood, I give them 10004 (World Trade Center, Tower Two).