Consumer reporting agencies collect information about consumers and sell it to other people. The most well-known are the credit reporting agencies, Experian, Equifax, and TransUnion. These are specialized consumer reports dealing exclusively with your credit, work history, and residence.
There are companies that scour public records to collect information about consumers. Companies like Acxiom and LexisNexis draw their share of fire from privacy rights advocates. They look at public records, DMV records, court records and (apparently) medical records. And since the information is available, being able to monitor it can give you a big head start against identity theft.
(Another CRA still talked about is ChoicePoint, which was purchased by the LexisNexis parent company.)
Of course, if you have always been shy about going into a database, there might not be much information about you. But CRAs are a successful business, and have been for decades.
