- Sites that allow visitor interaction like posting comments without an account
- Sites that allow visitors to create accounts and interact with the site
- Sites that allow visitors to spend money on things like buying goods, buying services, or donating money.
Whenever you collect data from users that they may want kept private, Most commonly E-mail addresses, physical addresses, and payment information.
Have a look at the sample privacy policies from this thread and see if any of the elements they refer to, you refer to your site.
Privacy is a huge area of activity. Check out the EFF site for informations of concern.
Coming to this late in the day, but the 3 definitions given by the first answer-ee really nail it in my opinion.
Rather than simply being an 'insurance policy' against legal/regulatory action, I think website owners should view this rather as an opportunity to show themselves as transparent and responsible. In a crowded market, this brings with it a competitive advantage.
In the UK, I would say every site should at least have a privacy/cookie usage policy, company number and contact details as a minimum standard of disclosure, whether you're capturing user data or not. Just like if you have a shop, you have an address, name of proprietor and a letterbox for correspondence.