For those who don't remember, I've had two data security issues involving Ameritrade-- twice a tagged email address I gave them has been sold to pump & dump spammers. I learned a while ago that I wasn't the only one, and that their data security issues had been well-publicized on the net, but not in the mainstream media.
I very politely explained to the account rep that I was planning to close my account over their data security issues, and he was completely unaware of them. I sent the BoingBoing link to him and suggested he read it, and then read the Slashdot information. He did, and was rather shocked. We talked for about ten minutes, and he completely understood my dissatisfaction and why I would want to move my business elsewhere. He also planned to run it up his management chain (or so he said), since he had a direct customer complaint about it.
In general, I'm a huge fan of voting with my feet/wallet. However, I recognize that it's far more productive to do so when you clearly but politely explain to the business why you will be going elsewhere. I feel good about the call, but I do feel sorry for the account guy... he was expecting to have a chat with me about investment strategies, and instead he got an extremely unhappy (though definitely not abusive) customer.