The Blog Bit
First, the blog itself and its comments. I don't collect any identifying data about people visiting this blog, apart from the general traffic stats stuff that Blogspot.com generates, which I often find interesting to peruse. It doesn't tell me IP addresses or anything like that, but I can see what countries people are viewing from, or if they got here by clicking a link, what page that link was on. I sometimes also see what keywords someone was looking for, if they found my page while searching for something. But it doesn't tell me WHO was looking.
About the only way I can find out you've been looking at my blog is when you tell me, either directly or by commenting. Blogspot supports signed commenting with your blogger user name, Google+ and maybe some other stuff (I haven't really paid that much attention), and you should pay attention to the commenting dialogue box and signature stuff if you're concerned about privacy. I have enabled anonymous commenting, so if you prefer not to have an identity attached to your comments, that's fine. All I ask in that case is that you adopt some sort of designation for the purposes of any dialogue in the comments thread that may ensue. (It can be awkward if there are more than one anonymous commenter.)
Anyway, my purpose in running this blog is not to gather information about its readers, but simply to share ideas and engage in dialogue. It's the ideas that are important, and the identities of the people advancing them are not.
The Ads Bit
You might notice that there are small, discreet Google AdSense ads that appear in the margins of my blog. Yeah, I'm using that to subsidize my internet habit. Who knows? Maybe if one of my articles takes off and goes viral, I'll actually earn enough to get over the minimum threshhold for Google to send me a cheque. Mainly I'm curious to see how it works.
The privacy implications of these ads for you as a user are a bit more than the implications of visiting the blog would be without them, but I imagine as a savvy internet user you're already fairly familiar with how these ads work. The ads are somewhat targeted towards the kind of person Google thinks you are, based on clues like what sort of web page you happen to be looking at when they appear (if you're reading my bit on Sauron et alia v. Baggins et alia, the presence of legal terminology and various names from Tolkien mean that ads from law firms or fantasy fiction or gaming sites might show up). But more importantly for your privacy, they're also based on information stored in cookies on your own computer, including a record of your own recent searches. They also can get some information about your geographical location, and show you ads for local restaurants. And they will have access to information about your browser version and operating system.
So you should be aware that visiting this blog, your browser will be offered cookies, and some big faceless corporation or other will be gathering certain kinds of information about you. (Not just Google; there may be cookies offered by ads from other companies as well. I don't know what ads show up when you browse my site.) You can disable some of this by setting your browser not to accept cookies. You can also tinker with the settings of the Google ads preferences, if you have a Google account.