According to Amazon's Alexa terms of use, the company collects and stores most of what you say to Alexa - including the geolocation of the product along with your voice instructions, reports CNBC's Todd Haselton. 

Your messages, communication requests (e.g., "Alexa, call Mom"), and related instructions are "Alexa interactions," as described in the Alexa Terms of Use. Amazon processes and retains your Alexa Interactions and related information in the cloud in order to respond to your requests (e.g., "Send a message to Mom"), to provide additional functionality (e.g., speech to text transcription and vice versa), and to improve our services. -Amazon Terms of Use

Does Alexa record everything? Not according to Amazon, which says that devices such as the Echo only begin "listening" when it hears its wake word, "Alexa." Could Alexa be remotely switched on or hacked to surveil a target? Well - we know they've been hacked to eavesdrop, and we know the government has been using personal cell phones as "roving bugs" for years - so it stands to reason that an Amazon listening device could be used against its owner.