The Spitzer episode shows that privacy is essentially dead now.
We have no privacy in our financial records--the banks ratted him out to the IRS.
We have no privacy on the phone--Big Brother was listening to his calls.
We have no privacy as to consensual acts between consenting adults.
Update:
This is from the search warrant application:
7. As demonstrated below, the evidence obtained during this investigation includes, among other things, statements of a confidential source who worked with the Emperors Club; statements of an undercover officer; more than 5,000 telephone calls and text messages intercepted pursuant to court authorized wiretaps; more than 6,000 e-mails recovered pursuant to court-authorized search warrants; bank records; travel and hotel records; and physical surveillance.