1. Web data stored longer
2. More data sharing
In addition to storing web data longer, Twitter is changing how it shares this data with its partners (read: advertisers). The wording is a bit vague but the changes certainly aren't being made to share less of your data: "We've updated how we share non-personal, aggregated and device-level data, including through some select partnership agreements that allow the data to be linked to your name, email, or other personal information -- but only when you give your consent to those partners."
3. No more Do Not Track
Twitter is no longer supporting Do Not Track, which you could enable in most browsers to stop advertisers from tracking your browsing history. Twitter states that despite its early support "an industry-standard approach to Do Not Track did not materialize."
Which privacy settings should I change?
Twitter also has a new Your Data section that lets you see the demographic, geographic and other ad-targeting data it has collected about you. On the app, scroll to the bottom of the Personalization and data page in settings and tap See your Twitter data. Here, you can view and edit Your Profile but the better information can be found on the Your Data tab. You can view and edit the interests Twitter assumes about you and also request a list of the advertisers with whom Twitter has shared your data be emailed to you.