"You won't get my money if there's no address on the website."
People are not thinking about the fact that what you can do or not do depends on what you are selling and to whom. In my niche, NO ONE puts up a realworld address on their site, not even a PO box. Some even hide their phone number. It's not because they are dicey. It is because of the nature of our niche. I am odd because I do have one, although it is buried now for precisely the reasons why dpd1 outlines. I had people dropping by all the time. They weren't scary--in fact, I think I probably scared THEM:)--but they were not what I want. It didn't matter that I put that my location was an office only or that I had no brick-and-mortar store. People would just want to see the "shop." One guy drove three hours in order to "drop by."
I used to have a PO box listed, but I had a similar problem to dpd1 about the closeness of the po boxes. I didn't want to have to waste time every day going to the post office, especially when I was living in a place where the road was often not plowed for a couple days after a snowstorm. So I buried the physical address on a contact page, and that is the ONLY page it is on. There, in a paragraph, I can explain that I do not have a brick-and-mortar store, that it is online only, and that my work premises is "not set up for visitors," a phrase I saw someone else using and adopted. This has cut way back on the number of people who drop by. Has it caused me to not make any money? No, it has not. I have not seen any effect on sales.
My address is on my WHOIS info, but I have never had anyone look that up on me and post it like dpd1 has. Btw, dpd1, you can have that info on your WHOIS masked if you want. They usually do it for a few extra bucks per year.
It is possible where I live to rent a small office for a couple hundred bucks (literally) a month. I thought about it but decided against it. It's flushing money down the toilet, I'm not going to spending any time there, and I don't need a ruse to do business. I want people to know that I am working individually on my products, that I am NOT a big industry, that I am open to custom work, that I personally listen to what they want, that I pay attention to detail, not mass quantity. I have found that by being up front that *I* am my business, people have an entirely different set of expectations that are much more in keeping with what I consider to be the thrust of my business: unusual items, hand crafted, not cheap, not mass produced, not Chinese imports, not made in a sweatshop, original, creative, and high quality, produced by someone with great care and great knowledge of the craft. I no longer get the customers who want cheap and fast, which is good by me.
How you manage your business and what you put on the web depends on what you sell and who your customers are. There are no rules you MUST follow. Heck, I have seen people make a good living and not even take cards.