In WordPress 1.5.2, posts that are marked "Private" show up in the RSS feed for the blog. This appears to contradict the documentation, which says (http://wordpress.org/docs/reference/post):
"Posts marked as `Private' are not visable to any other authors regardless of user levels."
A useful workaround was suggested: Fill in the "Excerpt" field. Following the link from the RSS feed to the blog itself will not give you the formatted post, so the RSS user will only see the excerpt. However, I would argue that the spirit of the "private" marking is that the post should not show up for public consumption without further action on the part of the author.
Related to this, comments which have been held for approval show up in the comments RSS prior to approval. I don't know if any search engines are using RSS feeds to index blogs, but if so, this is a bootstrap route for comment spam.