For a long time, I was considering getting into photography on a professional level, so I looked into the legalities. Pretty eye opening. In the instance of the OP, sarge712 & Co. were in a public venue... No expectation of privacy, so any photographs/video taken are perfectly legal.
Private property? Whole different ball game. You know how in the movies, there's a street scene, with a car driving through a neighborhood? Every house in that scene has to have a release form, just like a model release. Giving the photographer/Production Co. permission just to have the house in frame for a fraction of a second.
You actually own the airspace above your property, up to 32 feet above the top of your building (about the height of your average power pole), anything above that has to have aviation warning lights, has to be GPS'ed, and you're dealing with the FAA. This I know from being a long time CB'er, and having to deal with antenna masts.
Anything within that space is yours. You have a reasonable expectation of privacy. A "Drone", flying into that space without your permission, is violating your airspace, and your privacy. It is tantamount to walking up to someone's window and peering in, or standing at someone's fence and looking over into your back yard. Most states have some kind of Peeping Tom law. In AZ it's ARS 13-1504.A.3, Criminal Trespass in the 1st Degree, a class 1 misdemeanor. Then there's a little thing called curtilage, having to do with an area surrounded by a fence, and not visible from the street. Even the Cops can't look in/enter without a warrant (hot pursuit, not withstanding).
With the advent of RC mounted cameras, I see these laws being tweaked to include these devices.