The domain-related danger is that you'll get unwanted sales contacts from people who want to sell you domain registration or other domain/net-related services.
It's also a way for your personal contact details to leak out into the world at large. Some people care about privacy, some don't. This usually depends a lot on your personality and the risk factors in your life and in the lives of the people who live with you. If you have a hobby or a profession where you tend to make people angry*, it's plausible that sooner or later one of the people you've made angry will want to use your contact information to hassle or threaten you. The same is true if other family members who are easily connected to you are likely to attract stalkers or angry people.
(*For example, I'm an attorney. I don't spend the majority of my time on civil lawsuits but I do sue people and defend people who have been sued. Sometimes the people involved in lawsuits are very angry at each other, and sometimes they transfer that anger to the other party's lawyer, especially if the lawyer is doing a good job. And sometimes clients get angry if they think the lawyer should have won a case but they ended up losing. So I am careful about my personal contact details so that it's tougher for an unbalanced person to bother me at home.)
So the question is not just "do I want to be bothered by salespeople?" but also "how likely is it that my family or I will at some point attract unwanted attention from people who don't know where we live, and that the person(s) who are angry at me will be able to use my domain registration to find me?"
I provide my contact information in the domain names that I've registered, but the contact information I provide is my work address and telephone number, and we've already got systems and procedures in place at my office to deal with salespeople and crazy people.
I think it's a good idea for everyone to have a "business address" (maybe just a PO Box) that doesn't reveal where they and their children sleep at night. But I'm a person who likes privacy.
And, for what it's worth, if I am looking for information on someone, either to decide whether or not they've got assets to make them worth suing, or to find them to have them served with a summons or a subpoena, I'll look at the WHOIS data for any domains that they own, and troll through Google looking for contact information. I've had one case in particular where a dentist who owes my client a lot of money has registered multiple domains, which I found by paying domaintools.com for information, and those domains have revealed additional undisclosed assets and businesses to go after to collect money owed to my client. So it's not unrealistic paranoia to think that someone might use your domain registrations in a fashion that's not friendly to your interests.