The Electronic Frontier Foundation put together this handy chart that begins to compare some of the ways your privacy might be compromised through the use of ebooks. Of course, the same sort of thing applies to public libraries: we create records of what you borrow. On the other hand, our systems are designed (the better to protect your privacy) to forget what you borrowed, providing only that you bring it back on time.
Thanks to Suzanne for sending me this. We're still comparing our various readers. (She has a Kindle, I have the Sony Reader, and our son Max has an iPod Touch.) Privacy isn't usually on the feature list -- should it be?