What is a website privacy policy? - As defined by wikipedia:

"Privacy policies usually contain details of what personal information is collected, how the personal information may be used, the persons to whom the personal information may be disclosed, the security measures taken to protect the personal information, and whether the website uses cookies and/or web bugs."

In addition to your any legal disclosure information required by your regulatory bodies/agencies, it's a good idea to include a detailed privacy policy on your website.

If you have registered a secure certificate (SSL) for your website, it's also a good idea to have a privacy policy in P3P (Platform for Privacy Preferences Project) format. This will allow you to define your privacy policies to browsers, allowing them to automatically assess the level of privacy offered by the site.