Does the surveillance state affect us? It has affected me, and I didn't realize that it was affecting me until recently. I give a few examples of how it has affected me:

1. I was once engaged in a discussion on Facebook about Obama's foreign policy. Around that time, I was going to apply for a US visa. I stopped the discussion early. Semi-consciously, I was worried that what I was writing would be checked by US visa officials and would lead to my visa being denied.
2. I was once really interested in reading up on the Unabomber and his manifesto, because somebody mentioned that he had some interesting ideas, and though fundamentally misguided, he might have been onto something. I didn't explore much because I was worried---again semi-consciously---that my traffic history would be logged on some NSA computer somewhere, and that I'd pattern match to the Unabomber (I'm a physics grad student, the Unabomber was a mathematician).
3. I didn't visit Silk Road as I was worried that my visits would be traced, even though I had no plans of buying anything.
4. Just generally, I try to not search for some really weird stuff that I want to search for (I'm a curious guy!). 
5. I was almost not going to write this post.