Virtually every tech company is bending over backwards to comply with Europe's impending GDPR rules, and Apple is no exception to the rule. It just opened a Data and Privacy site that lets people with accounts in the European Union (plus Iceland, Liechtenstein, Norway and Switzerland) download everything the company knows about them. While it is only available for European users right now, Apple will make it available globally in the future. This mostly revolves around your Apple ID account and device info as well as data you've synced through iCloud, although it also includes your activity on services like Apple Music and the App Store, your AppleCare support history and your online shopping habits.
Don't expect everything right away. Apple warns that it can take up to a week to prepare the downloads, and certain content (like your iCloud Drive files and photos) could take a while to download. You have the option of choosing smaller download chunks if necessary. You'll also want to act on the download soon after it's available, as Apple will purge it after two weeks.
If you're in another part of the world, you can still ask for corrections, temporarily deactivate your account or delete it entirely. There aren't any shockers in the data set (virtually all of it is information you voluntarily submitted), but it's good to know you can review that data to be sure there's nothing alarming inside.