In the EU data protection Directive 95/46/EC we can find 2 different concepts:

(1) personal dala
(2) sensitive (or: special) data

According to the article 2a, personal data 'shall mean any information relating to an identified or identifiable natural person ("data subject"); an identifiable person is one who can be identified, directly or indirectly, in particular by reference to an identification number or to one or more factors specific to his physical, physiological, mental, economic, cultural or social identity’;
Special/sensitive data are defined as ‘data which are capable by their nature of infringing fundamental freedoms or privacy’ (recital 33). According to the article 8.1 such data are: personal data revealing racial or ethnic origin, political opinions, religious or philosophical beliefs, trade-union membership, and data concerning health or sex life.
The category of special/sensitive data is a subcategory of the category of personal data. Which means that to be called special/sensitive, the data must be personal (it must be possible to identify a person by using this data) and it must belong to the class of data specified in the article 8.1.
Which means that not every information concerning religious belief or sex life should be called special/sensitive. Only these information that can be traced back to the individual. As a consequence it is allowed to ask about religious beliefs or sexual orientation using anonymous questionnaires.