There's a number of threads already on the forum discussing the topic of privacy, however here are a couple considerations off the top of my head.
1 possible factor is cost. Are you paying for privacy, and for how many names? Then find out the cost 1 year's PObox rental in comparison.
Are you running a business? It would look more professional to have a local address, rather than a registrar's generic privacy details in the whois.
With a PO Box, you can actually receive physical mail.
Another thing is if you have domains (perhaps adult related) that you don't want people to associate with your name or your company's name, then I think registrar privacy would be the way to go.