The big picture: Naturally, they know what you've browsed or bought on their main service. They also know what you've asked Alexa, watched on Prime, and read on your Kindle. They know even more thanks to their ownership of Whole Foods, Ring, Eero, Twitch, Goodreads, IMDB and Audible.
Details: As with Google or Facebook, what Amazon knows depend on how much you rely on its services. That said, these days Amazon's services are all around us. Here are some of the different types of information gathered by various Amazon services.
Amazon.com: Everything you have bought, plus the things you have just put in your cart, or searched for, or added to a wish list, or just browsed on Amazon (and Amazon-owned sites like Zappos and Diapers.com). And they know all of your addresses and the names and addresses of anyone you've ever sent stuff to.
Kindle (digital books) and Audible (audio books): All the books you've read, plus how far into the book you got. Amazon also knows which books you have browsed or sampled, and what passages you've highlighted in Kindle.