We've covered the topic of Warden in the past, and you've probably already got an opinion on what it does to your computer system. Blizzard runs the Warden program alongside your WoW client, and while it runs it examines what else is running on your system -- if there are any third party programs (either hacks or cheat programs) interfering with the client, it lets Blizzard know, and shuts down the client. The obvious privacy concern here, of course, is that Warden is basically watching what you do outside of the game. And while Blizzard has maintained that the program is simply meant to check for hacks and cheats (they also say that no personally identifiable information is sent back to them, though IPs and other network information definitely are), there's always a chance that Warden could see you doing something you don't want it to.
Computerworld's Security section has a nice long article on all of the implications of Warden, especially in one of the more sensitive areas of security: the workplace. While most of us probably won't ever play World of Warcraft at work, there are certainly companies where installing and playing the game at certain times is appropriate. And it's probably in those situations where Warden could be its most dangerous. If you trust Blizzard with your information, then you'll have nothing to worry about. But if you don't know what Warden is sending back, there's always a chance that it could be something more sensitive than you'd like.
Of course, there is a hard and fast solution to this: don't play World of Warcraft on computers that have anything you wouldn't want shared with Blizzard or anyone else. As Computerworld concludes, it's a choice-and-consequences kind of thing. Warden is up and running every time you play WoW, for better or worse -- if you don't want it watching what you're doing, the only guaranteed way out is to not play World of Warcraft.