Begin your Windows 10 lockdown by going to Settings/Privacy.
On the General privacy page, turn off advertising ID and sending Microsoft info about how you write. You should leave SmartScreen, a security routine that prevents bad apps from sending you to malware-corrupted websites, on. The language option is harmless so I've left it on.
To control your ad personalization, Windows 10 sends you to the Web with its Edge web browser. I prefer to turn this off.
I'd prefer Microsoft not know where I am every time I'm working on my computer. If you agree, turn location off.
If you do elect to use location, do yourself a favor and don't give every application permission to use your location data.
I really wish Microsoft had named "Getting to know you" something else. It sounds friendly, but what it really means is Microsoft will be watching every typed or spoken word. I'd prefer to turn this off but without it neither dictation nor Cortana will work.
Be sure to check all the other privacy controls. For example, calendar should certainly access the Mail and Calendar app, but the App connector? Microsoft hasn't even made it clear what the App connector is! It appears to be an application programming interface (API) for data services. If I don't know what something is, I don't use it. You shouldn't either.
I don't like apps running in the background, both for power and privacy concerns, unless I really need them. Many of Windows 10 default background apps don't need to be running. Turn them off.
With all those privacy screens don't you wish there was a simple way to deal with them? A first try at this is the brand-new, open-source program is Disable Windows 10 Tracking. I can't recommend this bare-bones program to anyone except experts. Eventually, I hope it will give Windows 10 users an easy, clear way to protect their privacy.