Windows 10 has raised several concerns about privacy due to the fact that it has a lot of telemetry and online features. In response to these concerns, Microsoft released a document explaining exactly what data they collect. Most of it seems pretty legit stuff, but still, if you don't trust them, here's how to prevent Windows 10 from sending all your data to Microsoft.
Please note that not all of these changes can be reverted. If you mess up, you'll have to reinstall Windows.

Last update: July 25, 2017

At the end of the setup process, create a local account, don't use Cortana and turn off everything in the privacy settings.

If you already installed Windows with the default settings, go to Start > Settings > Privacy to turn them off. You should also go to Account and disconnect your Microsoft account because this guide will prevent it from working properly.

Once you get to the desktop, go to Settings > Updates and security, and let it download all the updates. Reboot and repeat until no more updates are available.
This is important because Windows Update may interfere with our activities.

Now open the Store app, and let it download updates too.
Again, this is important because it may interfere with our activities.
This may take some time, and it may even get stuck. If it happens, reboot and try again.

Now that the system is fully updated, make sure Windows is activated with your license (or KMSPico).

Open the start menu and remove all the applications. Some of them, such as Microsoft Edge, will not have an uninstall option; we'll remove them later.
What's important now is to remove all the OEM software and the shitty games like Candy Crush and Minecraft.

Here's what we need:

• Install_Wim_Tweak: Download this archive and extract it to C:\Windows\System32. This is an amazing tool that can obliterate entire Windows components with simple commands

We need a command prompt, so click start, type cmd and run it as administrator

We will also need PowerShell, so click start, type PowerShell and run it as administrator

In the command prompt, type:

This will take 1-2 minutes. After that, reboot and reopen our command prompt and PowerShell.

Windows will keep reminding us that the system is unprotected. Click Start, type Control Panel and open it, go to System and Security > Security and Maintenance, and turn off messages about virus protection.

Unfortunately, the Windows Defender icon is still present in the start menu, although it does nothing. I have yet to find a way to remove it.

We will use our command prompt and PowerShell to remove everything we can.
The commands in green are for the command prompt; the ones in blue are for PowerShell.

Windows Store

Music, TV, ...

Additionally, you should remove Windows Media Player: go to Start > Settings > Apps > Manage optional features, and remove Windows Media Player

Alternatives: MPC-HC | VLC | MPV

Xbox and Game DVR

You can ignore any error that pops up

Sticky notes

Alternatives: Notebot

Maps

Alarms and Clock

Mail, Calendar, ...

Alternatives: Thunderbird

OneNote

Photos

Alternatives: JPEGView, or the old Windows Photo Viewer

Camera (if you don't have a camera)

Ignore the errors that pop up

Weather, News, ...

Calculator (Not recommended)

Alternatives: SpeedCrunch

Sound Recorder

Alternatives: Audacity

Paint 3D and VR features

Reboot and reopen our command prompt and PowerShell

Important: if takeown complains about "y" not being a valid option, replace it with whatever is short for yes in your language. This is not a problem if you're not using Windows in English.

Microsoft Edge (Not recommended)

Additionally, you should remove IE11: Go to Start > Settings > Apps > Manage optional features, and remove Internet Explorer 11

Alternatives: Firefox | Chromium

Contact Support, Get Help

Additionally, Go to Start > Settings > Apps > Manage optional features, and remove Contact Support

Microsoft Quick Assist

Go to Start > Settings > Apps > Manage optional features, and remove Microsoft Quick Assist

Connect

Reboot!

Reboot the system. Hopefully everything is still in place.

With the Anniversary Update, Microsoft hid the option to disable Cortana.
Warning: Do not attempt to remove the Cortana package using install_wim_tweak or the PowerShell, as it will break Windows Search and you will have to reinstall Windows!
Open our command prompt again and use this command:

Reboot again and Cortana is gone. The icon is still there, but it will open the regular search instead.

Open the command prompt again and get ready to type

Turn off Windows Error Reporting

We will remove the service later, but in case an update reinstalls it, this will at least keep it turned off

No more forced updates

This will notify when updates are available, and you decide when to install them

No license checking

By default, Windows will check your license every time you turn on your PC, this will prevent it

Disable sync

It doesn't really affect you if you're not using a Microsoft Account, but it will at least disable the Sync settings from the Settings app

No Windows Tips

Reboot!

Reboot the system and reopen our command prompt for the next step.

If you don't use OneDrive (and you shouldn't), you can remove it from your system with these commands, entered in the command prompt:

If you're on 32 bit Windows:

If you're on 64 bit Windows:

Now reboot, and reopen the command prompt:

Don't worry if some of these commands fail, it is normal if you never used OneDrive.

Reboot once again, and reopen the command prompt for the next step

First, click start, type "Services" and open it. You will find a huge list of Windows Services, most of which are fine and safe, but others send data to Microsoft.
Find a service called Contact Data_xxxxx or CDPUserSvc_xxxxx, where xxxxx are 5 randomly generated characters (yes, Windows is using literal malware techniques to prevent automated removal of this trash). Write down these 5 characters.

And now type these commands to delete them:

Press Win+R, type regedit, press enter, and navigate to HKEY_LOCAL_MACHINE\SYSTEM\CurrentControlSet\Services

Here we need to delete the following keys:

• PimIndexMaintenanceSvc
• PimIndexMaintenanceSvc_xxxxx
• DPS
• UserDataSvc
• UserDataSvc_xxxxx
• UnistoreSvc
• UnistoreSvc_xxxxx
• xbgm (If you removed the Xbox stuff)

Right click the key and select Permissions, then click Advanced, change the Owner to your username, check "Replace owner on subcontainers and objects" and "Replace all child object permission entries with inheritable permission entries from this object", if inheritance is enabled, disable it and convert to explicit permissions, apply, remove all the permission entries and add one for your username with Full control, confirm everything and delete the key.

Reboot!

Windows 10 has a huge amount of scheduled tasks that may report some data. Type these commands in the command prompt to remove them:

Some of these may not exist, it's fine.

We must disable Windows Spotlight, and other "Suggestions".
Go to Start > Settings > Personalization:

• Under Lock screen and set the background to Picture
• Under Start set Occasionally show suggestions in Start to off (They're literally ads)

• Set Get tips, tricks, and suggestions as you use Windows to off
• Set Show me the Windows welcome... to off

• Under General, set Let Windows track app launches... to off
• Under App diagnostics, set Let apps access diagnostic information to off

If you give your Wifi password to a friend who has Wifi Sensor turned on (it was turned on by default in the previous versions of Windows 10), it will share your password with his Skype, Outlook, ... contacts, which means your Wifi password will be sent to Microsoft.
You can disable this by adding _optout to the name of your network.

For some applications (such as the settings app), the only way to prevent them from reporting data is to block them with a firewall. This is why you should use a firewall, such as TinyWall to block all traffic except what you explicitly allow.
Personally, I allow Windows Update, Network discovery and sharing, DHCP, DNS, my web browser and nothing more. This will limit the traffic of undesired applications to DNS queries, they won't be able to send or receive anything.
Setting up the firewall may take some time, but you'll be as safe as you could possibly be when using Windows. Tinywall's autolearn feature is very useful when you install a new application: it will learn its patterns and allow them through the firewall
A big limitation of Tinywall, if you decide to use it, is that you cannot allow/block individual UWP apps (for instance, allow Facebook but not Candy Crush). Blocking WWAHost.exe (recommended) will block all of them, while allowing it will allow all of them to go through. Microsoft Edge is the only exception and has its own exe files. The same thing happens if you use the UNIX subsystem, there is no way to block specific applications.

Things will change in the future, and I'll do what I can to keep this guide updated.
As of May 2017, this guide works on Windows 10 Pro.

There are a few things that can revert the changes we made here:

• Major updates: when a major update is installed it's like reinstalling Windows. It keeps your programs and settings but the system is reinstalled, and all the botnet with it. Major updates usually come out every 8-12 months. I will keep the guide updated every time a new major update comes out.
• Some minor updates: some updates will update Game DVR, as well as the Microsoft Compatibility Telemetry, thus reinstalling them if you removed them, so you will have to remove them again. These updates usually come out every 2 months and are the ones that take a long time to download and install. Nothing else will not be restored.
• Using sfc /scannow: this command checks system files for integrity. If you run it, it will reinstall Game DVR and Microsoft Compatibility Telemetry
• Using dism /Online /Cleanup-Image /RestoreHealth: if you run this command, it will revert almost all changes
• Using System Restore: if you go back to before the changes were made, it will revert changes