If you are operating an commercial website, certain states may require you to have a privacy policy page in a conspicious location.   In California (for example), this is require through its California Online Privacy Protection Act of 2003.  About.com talks more about this law.  The business and professions code section 22575-22579 starts out by saying "An operator of a commercial Web site or online service that collects personally identifiable information through the Internet about individual consumers residing in California who use or visit its commercial Web site or online service shall conspicuously post its privacy policy on its Web site."

This would be especially true if you are operating an eCommerce website where you have to collect customer names and addresses.

Note also that if you are an Google AdSense publisher, then Google also requires you to have a privacy policy page.  Read more about this and see examples of what to include in the Jensense article.