[idunnoman]

The easiest example I've heard is kinda gross and rude, but effective.

"You take a crap with the door closed, not because I don't know what you're doing in there, but because you don't want to share the experience with me."

That pretty much sums up everything you need to know about privacy. You don't have to hide anything in order for it to be important.

[nybble41]

Not a bad example, but some would argue that it wouldn't really make any difference if such things were not private—that it's more a matter of habit than any actual advantage. In nature you would want to know that you're alone during that time because it renders you relatively defenseless, physically, but that's not quite as much of an issue in modern society. As such, I prefer to point to situations where privacy remains a practical matter of self-defense: you don't share detailed financial data or your most intimate emotions with the world because there are people who can use that information to manipulate you or otherwise take advantage, e.g. through social engineering. You're not doing anything wrong—I'm not talking about potential blackmail material here—but knowing how much you earn and where you shop and what you buy and how you feel and what topics are likely to provoke an emotional response from you can give someone a great deal of leverage over you, often without you even realizing that you're being manipulated. Advertising is one obvious example of this, but not the only one. Being too open about your private life makes you vulnerable.