The third-party company you go with will, of course, hold your correct personal information and if you look at the terms of service with them you'll generally find that they do reserve the right to disclose your information in certain circumstances - if you're the subject of some form of legal action, for example.
Whether it's worth the outlay is depends on how much you perceive the service to be worth - for large numbers of domains, I've found it cheaper to register a PO box and use this for my domains. Many others simply enter general information in the WHOIS fields instead.
R.
