Over the past decade, wearable activity trackers (WATs) have become increasingly popular. However, despite many research studies in different fields (e.g. psychology, health, and design), few have sought to jointly examine the critical aspects of utility (i.e., benefits brought by these devices), privacy, and security (i.e., risks and vulnerabilities associated with them). To fill this gap, we reviewed 236 studies that researched the benefits of using WATs, the implications for the privacy of users of WATs, and the security vulnerabilities of these devices. Our survey revealed that these devices expose users to several threats. For example, WAT data can be mined to infer private information, such as the personality traits of the user. Whereas many works propose empirical findings about users' privacy perceptions and their behaviors in relation to privacy, we found relatively few studies researching technologies to better protect users' privacy with these devices. This survey contributes to systematizing knowledge on the utility, privacy, and security of WATs, shedding light on the state-of-the-art approaches with these devices, and discussing open research opportunities.