Alright, lets be honest here. Saying that you are "already on the list" is a gross over-simplification. With technology being what it is you couldnt surf online without possibly winding up on some kind of a list. But there is not just 1 big list I am sure, there are bound to be "priority" lists. The people of the list of "those who receive outdoor magazines" are probably not nearly as big a priority as those who are known to carry a weapon with them. If I were an enemy of freedom I would prioritize them as:
1. Civilian Sniper Enthusiasts
2. EBR enthusiasts (cross reference with list of people who buy a lot of ammo online, also cross reference with list of people who have bought Unintended Consequences, etc...)
3. CCW permitees
...and on down the list you go. I havent even mentioned those who are politically active.
My own personal policy is simple. I know fer dern tootin that I am probably pretty high up on some kind of lists just because of how many times I have written to my pols, the newspaper, etc...However, I also value my privacy in regards to what I buy/own. I dont buy any firearms except in FTF deals, and I buy ammo with cash either FTF or in a store. Of course, if someone gets to investigating me specifically then this post, as well as surfing habits, and email and phone records will undoubtedly reveal a great deal about what I buy/own.
If you really want to be anonymous then unplug from the net, buy all your firearms related stuff in FTF deals at gunshows across the state where no info is exchanged, and never use your credit card, computer, home or cell phone, or real name for buying anything related to firearms. Boston T. Party wrote a good book on it, Bulletproof Privacy. I think most of us are already so deep in it we would have to switch identities to make any of that work.