Without domain privacy protection it means your personal information (address, telephone number, etc.), is accessible to the public and it isn't such a big concern except spam. If you want to make sure you don't receive spam and so your details are WHOIS protected then go for the privacy protection option. The majority of times you won't receive any spam at all so the option is down to you
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When I say spam, it could be sales personnel contacting you about various products of theirs from the contact details they found in the WHOIS database.