Yeah my mum has been opening my bank statements since uni and then putting them in an envelope and sending them to me - apparently cos it's easier to open them and put them in a big envelope/so she knows they are actually bank statements and not something more urgent. Hm... Luckily I've been really good with my money until recently (exams over, Reading tickets, holiday, house deposit for next year..aaa!) so wasn't too bothered, but I think it is a bit of an invasion of privacy.
I guess it's just the attitude that bothers you, and I don't blame you. If my parents read any of my job applications I'd be annoyed (although I'm sure they were only teasing you about that, I can understand you still feeling a little violated), and if they looked at my texts I'd be furious! My mum to an extent doesn't understand I want privacy, she'll happily just go into my room to look for something and search my drawers etc, and deny she has any interest at all in the condom stash she inevitably discovers.
I think if it's getting to you just say something, or if they still take the piss then do if back maybe? Make a point of being deliberately nosey and 'accidentally' opening mail and 'finding' things. Might be a bit cheeky but will get your point across - you're an adult and while you're still under your parents' roof, it's fair enough to demand a certain level of privacy.