Opera Web Browser for OS X Gains Free Unlimited VPN Feature

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This should make it really convenient for the FBI/NSA to gather all your browsing data with just one request. Or perhaps they already have direct feed.

Exactly. Rather than needing to target a heap of other ISPs for the logs, they're all stored in one convenient location.
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The CIA and the FBI can sniff my junk all they want. What I'm concerned about is ads for that sex toy I looked at following me from Amazon to Facebook and then somehow ending up in my mother's Inbox.

Then what you're wanting to do is make sure your browser isn't storing cookies (or browsing sites when you're logged into Facebook and such) or user a different browser/device entirely.