Good question Cloud.
If you collect user information (such as email addresses, cookies etc) then it is essential to have a Privacy Policy, wherein you explain the use of this information to your site visitors. For instance, e-mail addresses are strictly to never be sold for third parties, subscribers to your newsletters have the option of signing out etc.
Check out this beginner's guide here:
http://www.the-dma.org/privacy/creating.shtml
Remember that there are privacy laws in place, so your privacy policy should comply with existing regulations.