I have never really thought that private domain registration was important, but when someone does not like you or wants to just bother you that is one of the easiest ways for them to get your personal information. If your domain is not private all of your personal information will show up on the whois, which can be easily searched for. So the easiest way to stop people from getting your private information is to get private registration on your domains.
If you are registered with GoDaddy then you can easily go into your domain control panel and select a domain and then select upgrade domain. You are then brought to a list of upgrade options, one which is private registration, select it and check out. GoDaddy has a special going on now where private registration is only $6.99 per domain. I’m not sure how you get private domain registration on other registrars, but that’s how you do it on GoDaddy.
Do you really need private registration? I would say yes, in this day and age you never know what people will do with your private information. The main reason I have switched all my domains over to private is that since I started lifecasting people thought it would be funny to prank call me. Even if this is not the case for you it is always important to protect your private information. Take John Chow for instance, a year ago most people did not know who he was, but now he is one of the most well known bloggers out there. Good thing he made his domains private. So if you are thinking about making your domains private it is probably a good idea.