Genealogical/Anthropological DNA analysis

Preamble

This year, for my birthday, I thought I'd get myself DNA typed. I'm into genealogy, and I thought it would be fascinating to find out what my DNA told me about my ancestry: Is my family tradition that I'm a cohen backed up by the genetics? What about that that my patrilineal great-great-grandfather was a Sephardi from Istanbul; does the DNA support his ancestors being amongst those kicked out of Spain four hundred years earlier (though I have no idea whether there are markers that selective)? Do my patrilineal ancestors go back to the mixture of peoples at the eastern end of the Mediterranean two thousand years ago from whom the majority of today's Jews are descended? What about my matrilineal? (If not, that's cool too.)

Of course, DNA is for all time, not just for Christmas the course of Jewish history; there are layers upon layers of parahistorical^* information in my genes, just waiting to be extracted. Assuming my ancestors do go back to ancient Israel, what about before that? The Semitic languages originated, in the fourth millennium BCE, as the only non-African branch of the Hamito-Semitic language family; but language dissemination does not always correlate with that of the peoples that speak them; were, then, my ancestors in the fifth millennium African Hamito-Semitic speakers, or Levantines speaking something else altogether?

* <googles> Damn, this word appears already to exist, and doesn't mean quite what I mean by it. Never mind; I doubt anyone is going to pedant me on it. :o)

And what about further back still? Stephen Oppenheimer's Out of Eden: The peopling of the world gave a fascinating insight into how you can trace the movement of peoples into the areas of the world they have inhabited in historical times through their genes. What do my ancestors' genes tell me about this? Where were they during the Last Glacial Maximum? Retreating before deserts in Africa, or before glaciers in Asia or Europe?

Get to the point, already!

A quick google shows there are a variety of companies out there offering DNA analysis of this kind. The DNA Ancestry Project came out Google's favourite link, however Family Tree DNA claims that 90% of genealogists choose them. They're more expensive, though.

Does anyone reading this have any experience or recommendations about any of these? (Also, should I be worried, from a data protection perspective, about the fact both of these companies are located outside of the UK, in the USA?)