Bit of a dilemma this. In a rather interesting article, Bin Tan and Zhai talk about the problems in providing both privacy and recording information to assit personalised search. Bit like having your cake and eating it!
There was a famous (infamous) case of a New York times reporter who identified somebody using their searches from a log AOL released without thinking about the privacy issues completely t e.g. properly anonymising data. Really, really silly!
Ask have taken a different view. They allow users to choose an option not to save their searches. This is fine, but how do you use information from the user to improve searches and personalise them? I'm not sure that Ask have fully throught through the implications.
Bin Tan, X.S. & Zhai, C. (2007). Privacy Protection in Personalised Search, SIGIR Forum, 41(1), November, 4-17.