We conducted an online survey with 366 participants from Canada, India, the UK, and the US to compare privacy concerns and opinions about the collection of personal data by law enforcement and government agencies. We investigated what data participants were willing to share, in what circumstances participants were willing to allow data collection, what procedures companies should follow when they receive requests for customer information, and participants' general concern about their privacy. Statistical analysis showed that nationality and gender had significant impacts on participants' trust and perceptions of their governments, while nationality also impacted participants' willingness to share data under various circumstances. While participants were, on the whole, moderately amendable to data collection by government agencies given a court-ordered warrant, they also indicated a strong desire for increased transparency, and reported a lacklustre knowledge about privacy legislation.