Well not getting into the debate over internet services. On Microsoft they do collection usage telemetry. This data is not linked back to you as a user. You will need to at least leave telemetry at "Basic" otherwise you won't be able to receive Windows updates. Beyond that you can go through the privacy settings and disable apps from using your data in any way.
Getting into 3rd party applications you're on your own as it's not likely short of trying to request information from the developers on what if any information they collect from your system. If you're worried about that I'd invest in a Security suite product that includes a robust firewall so that you can at least be cognizant of which applications are trying to make...