This guide lists most GPO settings to make Windows 10 a bit saner. It tries to strike a balance between privacy and usability, without compromising too much on both. It's what most users would work fine with.
While installing Windows, disconnect from the Internet and configure most of these policies offline. Do NOT use a Microsoft account.
Press Ctrl-R, run gpedit.msc
and using the tree on the left navigate to certain subtrees. Configure the policies as needed. If something is not mentioned, it should be left as "Not configured", but you're free to configure anything interesting you see as you wish.
These settings assume you have Windows 10 Enterprise but have not joined any Active Directory (AD) domain. Many of these settings will not work on Home or Pro editions. Some optional, nice to have options are also mentioned below - while not contributing to privacy, they might generally be desired.