Whois privacy can be a great service for a lot of reasons, but you need to be careful who it is done through.
When you register a domain name your contact information is published to the public whois database, so anyone can do a whois search on that domain and see your name, address, phone number and email address listed as the owner of the domain. Whois privacy puts in another companies information, usually associated with the registrar of the domain, so your information is not shown. They will usually forward on certified mail and email, but this is something you’ll want to check on before choosing your registrar.
One issue to be aware of, however, is that the company shown in the whois is often considered the owner of the domain. ICANN has done some things lately to try to fix this issue to protect the domain owners, but there is still a risk. A few years ago a registrar who gave out free privacy went out of business and it became nearly impossible to know which domains belonged to which customers because the only publicly available information showed all the domains as belonging to the registrar, which is now out of business.
It is also important not to try to take whois privacy into your own hands. If you put in fake information and somebody requests a whois verification (basically a request to see if the contact information on the domain is legitimate) and the registrar can’t reach you, then they are required to delete the domain.