If one is not careful, a large amount of information on him/her can be found online. That's probably the first thing investigators use. They might even hack into your computer or online databases to get information.

They can then try to use connections to find information through the public registry (Pendaftaran Negara) or other records (insurance, bank accounts, employer's database, utilities)

They could also (discreetly) interview/listen to your friends, colleagues, family members, bankers, barbers, clients to know more.

Apart from that, they might also tap into telephone lines to listen to telephone conversations. They might plant cameras, microphones, GPS tracker on your vehicle, clothes, phone, watch, pen etc.

They could also shadow you by following you wherever you go and then investigating your contacts.

No, it's worst. The PIs are professional stalkers. They get paid to do it. I think a related movie would be

I think most of those activities are illegal but it depends on the contract you signed with your utilities provider. They might have stated in their terms & conditions that they would not be liable to any fines or legal action if they give your information to someone else but I think many of us don't bother going through the 20 pages of t&c, right?

First of all, you must have enough evidence/s that he has been following you. How would you provide such evidence/s?