Literally everything you do leaves a footprint. Stay off the internet, don't have a credit card, don't use banks, don't use utilities and maybe you won't leave an electronic trace. Pay cash for everything. Live in a country with a government and they will have records such as driver's license, social security (in the US), income tax returns, voter registration records, vehicle licensing, etc.
Like Dale said, there are records of everything you do using credit cards and loyalty programs. The big question is what the companies do with that information. At this point in time, I'd be more concerned about hackers and identity theft than government intrusion.
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