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 That still leaves loads of my sensitive data in the hands of an exchange and I'm not risking that.  
 Enter in crypto without KYC is difficult, close to impossible, maybe talk to your friends if they agree to deal with you but CEX exchanges need to comply if they want doing business with the agreement of government. There are options anyway like stealthex or Poloniex where you will need to KYC with the card payment processing only not the exchange, Bisq or Haveno (reto) but it will be more and more difficult in the future to not KYC on CEX. I don't care about KYC because Monero break the link, then you are in shadow 😉 
 
https://stealthex.io 
https://poloniex.com
https://bisq.network
https://haveno-reto.com 
 I appreciate the tips but I've tried just about all of those and they just don't work for me. I also don't have any friends (at least not close friends) that are even remotely into Bitcoin, so that's out too. Furthermore, I don't care so much about the privacy implications because I probably would use Monero for a lot of things alongside Bitcoin. The problem is I don't want exchanges having that information in the first place. Their high priority targets for black hats and the last thing I need on my plate is having to deal with government bureaucracy to lock down any potential identity theft or credit score issues.