If your policy is that you won't sell or reveal their personal data to any other company, then shout it from the digital rooftops! You'll put your visitors' minds at ease, and they'll be more likely to provide you with their data. Just tell your visitors why you want their data. Will you be improving your site to better serve them? Will you be customizing advertisements so they see only ads on your site that are compatible with their interests? Be honest with your visitors, and they'll be more likely to be honest with you.
Aliza Sherman is an entrepreneur and author of Cybergrrl: A Woman's Guide to the World Wide Web (Ballantine Books). She is currently working on her next book and new company.