With many million users across all age groups and income levels, video games have become the world’s leading entertainment industry. Behind the fun experience they provide, it goes largely unnoticed that modern game devices pose a serious threat to consumer privacy. To illustrate the industry’s potential for illegitimate surveillance and user profiling, this article offers a classification of data types commonly gathered by video games. Drawing from patents and literature of diverse disciplines, it is also discussed how patterns and correlations in collected gameplay data may leak additional information in ways not easily understood or anticipated by the user. This includes inferences about a user’s biometric identity, age, gender, emotions, skills, interests, consumption habits, and personality traits. Based on these findings, it is argued that video games need to be brought into the focus of privacy research and discourse. Considering the granularity and enormous scale of the data collection taking place, this industry deserves the same level of scrutiny as other digital services, such as search engines, dating apps, or social media platforms. The knowledge compiled in this article can serve as a basis for privacy impact assessments, consumer education, and further research into the societal impact of video games.